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Incremental Sharpe and other performance ratios

dc.contributor.authorBenhamou, Éric
dc.contributor.authorGuez, Beatrice
dc.date.accessioned2019-05-17T13:39:44Z
dc.date.available2019-05-17T13:39:44Z
dc.date.issued2018
dc.identifier.issn2241-0384
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18924
dc.language.isoenen
dc.subjectC12
dc.subjectG11
dc.subjectSharpe
dc.subjectTreynor
dc.subjectrecovery
dc.subjectincremental Sharpe ratio
dc.subjectportfoliodiversification
dc.subject.ddc519en
dc.subject.classificationjelC.C1.C12en
dc.subject.classificationjelG.G1.G11en
dc.titleIncremental Sharpe and other performance ratios
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe present a new methodology of computing incremental contributionfor performance ratios for portfolio like Sharpe, Treynor, Calmar orSterling ratios. Using Euler’s homogeneous function theorem, we areable to decompose these performance ratios as a linear combination ofindividual modified performance ratios. This allows understanding thedrivers of these performance ratios as well as deriving a condition fora new asset to provide incremental performance for the portfolio. Weprovide various numerical examples of this performance ratio decomposition.
dc.relation.isversionofjnlnameJournal of Statistical and Econometric Methods
dc.relation.isversionofjnlvol7
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2018
dc.relation.isversionofjnlpages19-37
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-02012443
dc.relation.isversionofjnlpublisherScienpress
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingouien
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2020-10-06T16:08:46Z


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