Informationless Trading and Biases in Performance Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio and DEA-Based Performance Measures and Related Measures-Reference-Cited by-同舟云学术

Informationless Trading and Biases in Performance Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio and DEA-Based Performance Measures and Related Measures

Published:2018 Issue: Volume: Page:233-265
ISSN:
Container-title:Indices, Index Funds And ETFs
language:
Short-container-title:

Author:

Nwogugu Michael I. C.

Publisher

Palgrave Macmillan UK

Link

http://link.springer.com/content/pdf/10.1057/978-1-137-44701-2_6

Reference91 articles.

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3. Ammermann, P., & Patterson, D. (2003). The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan stock exchange. Pacific-Basin Finance Journal, 11(2), 175–195.

4. Andreu, L., Matallín-Sáez, J., & Sarto, J. (2018). Mutual fund performance attribution and market timing using portfolio holdings. International Review of Economics & Finance, in press.

5. Antoniou, I., Ivanov, V., & Zrelo, P. V. (2004). On the log-normal distribution of stock market data. Physica A: Statistical Mechanics and Its Applications, 331(3–4), 617–638.

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