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- W2045279712 abstract "We derive a generalized JENSEN measure in the case of HARA utility functions, which coincides with the marginal expected utility from adding a certain fund to the market portfolio. We then show how performance evaluation by a generalized TREYNOR measure can be justified by the consideration of the JENSEN measure of normalized funds in order to circumvent the well-known possibility of manipulating the original JENSEN measure by a fund's riskless lending. For the special case of cubic HARA utility we derive a generalized SHARPE measure and more vivid versions of the generalized TREYNOR and JENSEN measure. Thereby, we are able to discuss an alternative approach by PRAKASH and BEAR (1986) for cubic HARA utility. We visualize our theoretical findings by empirical examples." @default.
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- W2045279712 date "2005-09-12" @default.
- W2045279712 modified "2023-09-27" @default.
- W2045279712 title "Performance Evaluation and Preferences Beyond Mean-Variance" @default.
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