%0 Journal Article %A Valeri Zakamouline %T On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note %D 2010 %R 10.3905/jpm.2010.37.1.092 %J The Journal of Portfolio Management %P 92-104 %V 37 %N 1 %X 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 %U https://jpm.pm-research.com/content/iijpormgmt/37/1/92.full.pdf