Portfolio performance measurement: Theory and applications

• 成果类型: Article
• 署名作者: Chen, ZW; Knez, PJ
• 署名单位: University System of Ohio; Ohio State University; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/9.2.511
• 发表日期: 1996
• 页码: 511
• 关键词: asset pricing-models; mutual fund performance; INVESTMENT PERFORMANCE; MANAGED PORTFOLIOS; MARKET LINE; returns; arbitrage; equilibrium; STOCK; INFORMATION

摘要

Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is no arbitrage. This article characterizes the (infinite) set of admissible performance measures. It is shown that performance evaluation is generally quite arbitrary. A mutual fund data set is also used to demonstrate bow the measurement method developed here can be applied.