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| Tekijä: | Hübner, G. |
| Otsikko: | The Generalized Treynor Ratio |
| Lehti: | Review of finance
2005 : VOL 9:3, p. 415-435 |
| Asiasana: | Capital asset pricing Performance measurement Portfolio management Models |
| Kieli: | eng |
| Tiivistelmä: | This paper extends the Treynor performance ratio for a single index to the case of multiple indexes. The new measure, called the Generalized Treynor Ratio, preserves the same analytical properties and key geometric of the original Treynor Ratio. Numerical simulations reveal that the portfolio rankings produced with this measure are more precise and more stable than the ones provided by Jensen's alpha and the Information Ratio. |
SCIMA