PT - JOURNAL ARTICLE AU - Valeri Zakamouline TI - On the Consistent Use of VaR in Portfolio Performance Evaluation: <em>A Cautionary Note</em> AID - 10.3905/jpm.2010.37.1.092 DP - 2010 Oct 31 TA - The Journal of Portfolio Management PG - 92--104 VI - 37 IP - 1 4099 - https://pm-research.com/content/37/1/92.short 4100 - https://pm-research.com/content/37/1/92.full AB - 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