| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1911 |
| DP1911 Labour Force transitions of Older Married Couples in Germany | |
| Regina Riphahn; David Blau | |
| 发表日期 | 1998-06-30 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | This paper proposes instantaneous versions of the Sharpe ratio and Jensen?s alpha as performance measures for managed portfolios. Both are derived from optimal portfolio selection theory in a dynamic model. The instantaneous Sharpe ratio equals the discrete Sharpe ratio plus half of the volatility of the fund. Hence, it does not penalize fund managers for taking risks as much as the discrete ratio does. This is justified by dynamic portfolio theory. Unlike their discrete versions, the instantaneous performance measures take leverage correctly into account in a dynamic setting, and they take into account investors rebalancing their portfolios over time. |
| 主题 | Financial Economics |
| 关键词 | Fund management Jensen's alpha Performance evaluation Sharpe ratio |
| URL | https://cepr.org/publications/dp1911 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531047 |
| 推荐引用方式 GB/T 7714 | Regina Riphahn,David Blau. DP1911 Labour Force transitions of Older Married Couples in Germany. 1998. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Regina Riphahn]的文章 |
| [David Blau]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Regina Riphahn]的文章 |
| [David Blau]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Regina Riphahn]的文章 |
| [David Blau]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
