Performance measurement is one of the most studied subjects in financial literature. Since
the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

This paper performs a census of the 101 performance measures for portfolios that have
been proposed so far in the scientific literature. We discuss their main strengths and …

Whether you are a pension plan sponsor rethinking investment objectives or conducting an
asset allocation study, an investor interested in evaluating asset-liability value-at-risk, or an …

The process that led the world economy to the global financial crisis, as well as its explosion,
was accompanied by an unprecedented increase of prices in the commodity markets. The …

Using a proprietary and unusually comprehensive database of hedge fund returns, we seek
to identify abnormal performance consistent with opportunistic trading (eg, bear raids) or …

In light of the recent popularity of products based on alternative risk premia, the authors
examine the ability of these products to capture the returns of the commodity trading advisor …

Abstract Arrow-Debreu (AD) securities, while foundational from an academic perspective of
asset pricing, do not and will never exist as there is no natural issuer and “states” are hard to …

Many papers on active management argue for maximising information ratios using a risk-
budgeting framework. Recent innovations in risk-adjusted performance measures show why …

This asset pricing model incorporates four positive realities of investing; that investors have
many stochastic goals, seek to delegate to skillful agents, explicitly specify risk budgets, and …