Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns

Moshe Levy and Richard Roll
The Journal of Portfolio Management Winter 2018, 44 (3) 66-75; DOI: https://doi.org/10.3905/jpm.2018.44.3.066

Article Information

vol. 44 no. 3 66-75
DOI 
https://doi.org/10.3905/jpm.2018.44.3.066
Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online January 24, 2018.
Copyright & Usage 
© 2018 Pageant Media Ltd

Author Information

  1. Moshe Levy
    1. is a professor of finance at the Hebrew University in Jerusalem, Israel. (mslm{at}huji.ac.il)
  2. Richard Roll
    1. is the Linde Institute professor of finance at the California Institute of Technology in Pasadena, CA. (rroll{at}caltech.edu)
  1. To order reprints of this article, please contact David Rowe at drowe{at}iijournals.com or 212-224-3045.
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Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns
Moshe Levy, Richard Roll
The Journal of Portfolio Management Jan 2018, 44 (3) 66-75; DOI: 10.3905/jpm.2018.44.3.066
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