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- W188469141 abstract "In this paper we propose a new approach to evaluate the performance of managed portfolios of financial investments. We focus on evaluating the performance of individual portfolios and individual portfolio managers, over a given performance horizon. Within this approach one or more performance measures can be used, depending on the performance question(s) to be answered. The choice of performance measure is hardly restricted and may include measures proposed by financial economic literature, by practice or by both. The method tackles the performance measurement at the decision making level: the portfolio weights. These provide the basis for scoring the portfolios in terms of the performance measures adopted. The performance of the managed portfolio is compared with the performance of all possible portfolios that could have been constructed for this period, given the same opportunity set as the managed portfolio and also given the same set of constraints that are imposed on the managed portfolio. The framework can also be used for other purposes. For example, to study different investment strategies, to investigate the behavior of market indices or to describe and compare different financial markets (or segments thereof) and their development over time." @default.
- W188469141 created "2016-06-24" @default.
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- W188469141 date "2000-01-01" @default.
- W188469141 modified "2023-09-27" @default.
- W188469141 title "Portfolio Performance Through the Eyes of Monkeys" @default.
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- W188469141 doi "https://doi.org/10.1007/978-3-642-57652-2_14" @default.
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