Investor Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio

Beitrag in einer Fachzeitschrift


Details zur Publikation

Autor(en): Scholz H, Wilkens M
Zeitschrift: International Journal of Finance & Economics
Verlag: Wiley-Blackwell
Jahr der Veröffentlichung: 2005
Band: 17
Heftnummer: 4
Seitenbereich: 3671-3691
ISSN: 1076-9307
Sprache: Englisch


Abstract


This article defines the investor-specific peribmiance measure ISM necessary for investors in practically relevant decision situations. In such situations a typical investor creates an overall portfolio consisting of three parts: an arbitrary fund, a risk-free asset and an existing, fixed portfolio. Since the ISM is considerably defined by the Sharpe ratio and the Treynor ratio, an economic justification of these traditional performance measures is also presented here.



FAU-Autoren / FAU-Herausgeber

Scholz, Hendrik Prof. Dr.
Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken


Autor(en) der externen Einrichtung(en)
Universität Augsburg


Zitierweisen

APA:
Scholz, H., & Wilkens, M. (2005). Investor Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio. International Journal of Finance & Economics, 17(4), 3671-3691.

MLA:
Scholz, Hendrik, and Marco Wilkens. "Investor Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio." International Journal of Finance & Economics 17.4 (2005): 3671-3691.

BibTeX: 

Zuletzt aktualisiert 2018-09-08 um 18:23