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| Author: | Stuzer, M. |
| Title: | A portfolio performance index |
| Journal: | Financial Analysts' Journal
2000 : MAY-JUN, VOL. 56:3, p. 52-61 |
| Index terms: | Equity portfolios Performance measurement Rate of return |
| Language: | eng |
| Abstract: | The probability decay rate is proposed here as a new portfolio "performance index". In the widely analyzed special case in which returns are normally distributed, the new performance-index-maximizing portfolio is the same as the popular Sharpe-ratio-maximizing portfolio. The results of the two approaches generally differ, however, because of nonnormal levels of skewness and/or kurtosis in the portfolio attributable to large asymmetrial economic shocks or investments in options and other derivative securities. |
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