An Empirical Investigation of the Option-Adjusted Realized Return

An Empirical Investigation of the Option-Adjusted Realized Return The issue of meaningful evaluation of professionally managed portfolios remains to be resolved satisfactorily within the investment community. The fact that many of the current procedures for evaluating portfolio performance are deeply rooted in conventional mean-variance (M-V) analysis raises serious concerns from a theoretical perspective. The primary objective of this paper is an empirical investigation (as differentiated from a thorough empirical test) of an ordinal portfolio performance measure, called the Option-adjusted Realized (average rate of) Return or ORR, developed recently by Smith and Kokoska (1998). The ORR is a leverage- and risk-adjusted average realized rate of return that can be used directly in evaluating portfolio performance. Review of Quantitative Finance and Accounting Springer Journals

An Empirical Investigation of the Option-Adjusted Realized Return

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Kluwer Academic Publishers
Copyright © 2002 by Kluwer Academic Publishers
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
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