haku: @author Okunev, J. / yhteensä: 8
viite: 8 / 8
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| Tekijä: | Okunev, J. |
| Otsikko: | An alternative measure of mutual fund performance. |
| Lehti: | Journal of Business Finance and Accounting
1990 : SPRING, VOL. 17:2, p. 247-264 |
| Asiasana: | UNIT TRUSTS FINANCIAL PERFORMANCE |
| Kieli: | eng |
| Tiivistelmä: | Traditionally two models are used for determining mutual fund performance: the mean variance model and the stochastic dominance model. Both have severe limitations. An alternative measure of mutual fund performance is presented, which appears to possess the better characteristics of both the mean variance and the stochastic dominance models. These alternative measures are based on risk being measured in terms of the extended Gini coefficient. It is found that the optimum choice under the alternative performance measures are different from those predicted from the mean variance model. |
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