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- W2118378492 abstract "42 % F inancial institutions, investment advisors, bank 3 5 trust departments, mutual funds, and brokers with discretionary accounts manage more than two trillion dollars of assets on behalf of others. It is not surprising, therefore, that their clients have a strong incentive to develop objective measures of the relative skills of these financial agents. In the next few pages we discuss the concept and problems of investment performance measurement, first with respect to all assets and then with a focus on options. In order to measure performance, data must be collected and analyzed. In investments, there is agreement that the relevant focus should be on measures of risk and return, but there are many well known problems in obtaining accurate measures of risk and return for stocks and bonds, and options add additional complications. For stocks, bonds, and many other financial assets, the capital asset pricing model (CAPM) has been the central concept for performance measurement. The model is based on efficient diversification, so that, in equilibrium, an investor holding any asset is rewarded only for bearing non-diversifiable risk (beta (p) risk). This risk is non-diversifiable because it is inherent in the uncertainties regarding the future returns on all marketable assets. The efficient collection of all assets is termed the market portfolio. Every asset in the market portfolio contributes that portion of its total risk that is systematic, or correlated, with -" @default.
- W2118378492 created "2016-06-24" @default.
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- W2118378492 date "1984-04-30" @default.
- W2118378492 modified "2023-10-18" @default.
- W2118378492 title "Option performance measurement" @default.
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- W2118378492 doi "https://doi.org/10.3905/jpm.1984.408958" @default.
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