TY - JOUR T1 - On the Consistent Use of VaR in Portfolio Performance Evaluation: <em>A Cautionary Note</em> JF - The Journal of Portfolio Management SP - 92 LP - 104 DO - 10.3905/jpm.2010.37.1.092 VL - 37 IS - 1 AU - Valeri Zakamouline Y1 - 2010/10/31 UR - https://pm-research.com/content/37/1/92.abstract N2 - 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 ER -