TY - JOUR
AU - Knez, Peter J.
AB - Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is no arbitrage. This article characterizes the (infinite) set of admissible performance measures. It is shown that performance evaluation is generally quite arbitrary. A mutual fund data set is also used to demonstrate how the measurement method developed here can be applied.
TI - Portfolio Performance Measurement: Theory and Applications
JF - The Review of Financial Studies
DO - 10.1093/rfs/9.2.511
DA - 1996-04-03
UR - https://www.deepdyve.com/lp/oxford-university-press/portfolio-performance-measurement-theory-and-applications-zecD2PhXSL
SP - 511
EP - 555
VL - 9
IS - 2
DP - DeepDyve
ER -