Analysing assets’ performance inside a portfolio: From crossed beta to the net risk premium ratio

References

• Amenc, N., Goltz, F., Lodh, A., & Martellini, L. (2012). Diversifying the diversifiers and tracking the tracking error: Outperforming cap-weighted indices with limited risk of underperformance. The Journal of Portfolio Management, 38, 72–88. doi:10.3905/jpm.2012.38.3.072
   Web of Science ®Google Scholar
• Amenc, N., & Le Sourd, V. (2003). Portfolio theory and performance analysis. Chichester: John Wiley and Sons.
   Google Scholar
• Bacon, C. (2013). Practical risk-adjusted performance measurement. Chichester: John Wiley and Sons. doi:10.1002/9781118673621
   Google Scholar
• Bilinski, P., & Lyssimachou, D. (2014). Risk interpretation of the CAPM’s beta: Evidence from a new research method. Abacus, 50, 203–226. doi:10.1111/abac.12028Actions.
   Web of Science ®Google Scholar
• Bodie, Z., Kane, A., & Marcus, A. J. (2009). Investments and portfolio management (9th ed.). New York, NY: McGraw Hill.
   Google Scholar
• Cheung, C. S., Kwan, C. C., & Miu, P. C. P. (2007). Mean-Gini portfolio analysis: A pedagogic illustration. Spreadsheets in Education (eJSiE), 2(2), Article 3. Retrieved from http://epublications.bond.edu.au/ejsie/vol2/iss2/3
   Google Scholar
• Farinelli, S., & Tibiletti, L. (2008). Sharpe thinking in asset ranking with one-sided measures. European Journal of Operational Research, 185, 1542–1547. doi:10.1016/j.ejor.2006.08.020
   Web of Science ®Google Scholar
• Farnsworth, H., Ferson, W., Jackson, D., & Todd, S. (2002). Performance evaluation with stochastic discount factors. The Journal of Business, 75, 473–583. doi:10.1086/339902
   Web of Science ®Google Scholar
• Ferson, W. E. (2010). Investment Performance Evaluation. Annual Review of Financial Economics, 2, 207–234. doi:10.1146/annurev-financial-120209-134007
   Web of Science ®Google Scholar
• Gerstenberger, C., & Vogel, D. (2015). On the efficiency of Gini’s mean difference. Statistical Methods & Applications, 24, 569–596. doi:10.1007/s10260-015-0315-x
   Web of Science ®Google Scholar
• Gomez-Bezares, F., & Gomez-Bezares, F. R. (2015). Don’t use quotients to calculate performance. Cogent Economics & Finance, 3(1). doi:10.1080/23322039.2015.1065584
   Web of Science ®Google Scholar
• Gusset, J., & Zimmermann, H. (2014). Why not use SDF rather than beta models in performance measurement? Financial Markets and Portfolio Management, 28, 307–336. doi:10.1007/s11408-014-0235-z10.1007/s11408-014-0235-z
   Google Scholar
• Homm, U., & Pigorsch, C. (2012). Beyond the sharpe ratio: An application of the Aumann-Serrano index to performance measurement. Journal of Banking and Finance, 36, 2274–2284. doi:10.1016/j.jbankfin.2012.04.005
   Web of Science ®Google Scholar
• Huang, C., & Litzenberger, R. H. (1988). Foundations for Financial Economics. New York, NY: North Holland.
   Google Scholar
• Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfolios. The Journal of Business, 42, 167–247. doi:10.1086/295182
   Web of Science ®Google Scholar
• Levy, H. (2012). The capital asset pricing model in the 21st century: Analytical, empirical, and behavioral perspectives. Cambridge: Cambridge University Press.
   Google Scholar
• Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. Journal of Finance, 20, 587. doi:10.2307/2977249
   Web of Science ®Google Scholar
• Loviscek, A. (2015). “The lost decade”: An MPT perspective. Managerial Finance, 41, 1202–1220. doi:10.1108/mf-11-2014-0291
   Web of Science ®Google Scholar
• Malkiel, B. (2015). Random walk down wall street: The time-tested strategy for successful investing. New York, NY: Norton.
   Google Scholar
• Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7, 77–91. doi:10.1111/j.1540-6261.1952.tb01525.x
   Web of Science ®Google Scholar
• Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New Haven, CT: Yale University Press.
   Google Scholar
• Markowitz, H. M. (2005). Market efficiency: A theoretical distinction and so what? Financial Analysts Journal, 61, 17–30. doi:10.2469/faj.v61.n5.2752
   Web of Science ®Google Scholar
• Merton, R. C. (1972). An analytic derivation of the efficient portfolio frontier. The Journal of Financial and Quantitative Analysis, 7, 1851–1872. doi:10.2307/2329621
   Web of Science ®Google Scholar
• Rubinstein, M. (2006). A history of the theory of investments: My annotated bibliography. New York, NY: John Wiley & Sons.
   Google Scholar
• Schuhmacher, F., & Eling, M. (2012). A decision-theoretic foundation for reward-to-risk performance measures. Journal of Banking and Finance, 36, 2077–2082. doi:10.1016/j.jbankfin.2012.03.013
   Web of Science ®Google Scholar
• Shadwick, W. F., & Keating, C. (2002). A universal performance measure. Journal of Performance Measurement, 6, 59–84.
   Google Scholar
• Shalit, H., & Yitzhaki, S. (1984). Mean-Gini, portfolio theory, and the pricing of risky assets. The Journal of Finance, 39, 1449–1468. doi:10.1111/j.1540-6261.1984.tb04917.x
   Web of Science ®Google Scholar
• Shalit, H., & Yitzhaki, S. (2005). The Mean-Gini efficient portfolio frontier. Journal of Financial Research, 28, 59–75. doi:10.1111/j.1475-6803.2005.00114.x
   Google Scholar
• Shalit, H., & Yitzhaki, S. (2010). How does beta explain stochastic dominance efficiency? Review of Quantitative Finance and Accounting, 35, 431–444. doi:10.1007/s11156-010-0167-2
   Google Scholar
• Sharpe, W. F. (1970). Portfolio theory and capital markets. New York, NY: McGraw-Hill.
   Google Scholar
• Sharpe, W. F. (1991). The arithmetic of active management. Financial Analysts Journal, 47, 7.10.2469/faj.v47.n1.7
   Google Scholar
• Sortino, Frank A., & van der Meer, R. (1991). Downside risk. The Journal of Portfolio Management, 17, 27–31. doi:10.3905/jpm.1991.409343
   Web of Science ®Google Scholar
• Stoyanov, S. V., Rachev, S. T., & Fabozzi, F. J. (2007). Optimal Financial Portfolios. Applied Mathematical Finance, 14, 401–436. doi:10.1080/13504860701255292
   Google Scholar
• Treynor, J. (1966). How to rate management investment funds. Harvard Business Review, 43, 63–75.
   Web of Science ®Google Scholar
• Yitzhaki, S. (1982). Stochastic dominance, mean variance, and Gini’s mean difference. American Economic Review, 72, 178–185.
   Web of Science ®Google Scholar
• Yitzhaki, S., & Schechtman, E. (2013). The Gini methodology. Heilderberg: Springer Series in Statistics. doi:10.1007/978-1-4614-4720-7
   Google Scholar