@article {Zakamouline92, author = {Valeri Zakamouline}, title = {On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note }, volume = {37}, number = {1}, pages = {92--104}, year = {2010}, doi = {10.3905/jpm.2010.37.1.092}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The portfolio performance measures based on the Value at Risk (VaR) concept have gained widespread popularity and are often used in empirical studies. In the majority of empirical studies, however, a VaR-based performance measure is inconsistently used. In this article, Zakamouline emphasizes how to consistently use VaR in portfolio performance evaluation. He also elaborates on a simple framework that allows the derivation of a general formula for a portfolio performance measure that is not limited to the use of VaR-based reward and risk measures, but is valid for all reward and risk measures that satisfy a few plausible properties.TOPICS: Performance measurement, VAR and use of alternative risk measures of trading risk, quantitative methods}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/37/1/92}, eprint = {https://jpm.pm-research.com/content/37/1/92.full.pdf}, journal = {The Journal of Portfolio Management} }