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Portfolio Performance Measurement: Review of Literature and Avenues of Future Research

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Marhfor, A. (2016). Portfolio Performance Measurement: Review of Literature and Avenues of Future Research. American Journal of Industrial and Business Management , 6 (4). p. 432-438. doi:10.4236/ajibm.2016.64039 Repéré dans Depositum à https://depositum.uqat.ca/id/eprint/913

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Résumé

This study provides a review of the main measures of portfolio performance. We discuss their weaknesses and distinguish between traditional performance measures and more recent conditional performance measures. We show that the conditional approach addresses one major shortcoming of the traditional approach (risk stability assumption). Conditional measures allow expected returns and risk to vary with the state of the economy. We also propose new avenues for future research and some improvements to the existing measures.

Type de document: Article
Informations complémentaires: Licence d'utilisation : CC-BY 4.0
Mots-clés libres: Portfolio Performance; Traditional Measures; Conditional Performance Measures; Asset Selection; Market Timing; Jensen Alpha; Conditional Alpha
Divisions: Gestion
Date de dépôt: 18 mars 2020 18:53
Dernière modification: 26 mars 2020 15:01
URI: https://depositum.uqat.ca/id/eprint/913

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