Portfolio Performance Manipulation and Manipulation-Proof Performance Measures

Over the years numerous portfolio performance measures have been proposed. In general they are designed to capture some particular enhancement that might result from active management. However, if a principal uses a measure to judge an agent, then the agent has an incentive to game the measure. Our paper sh

MoreLess

Year of publication:	2002-03-01
Authors:	Goetzmann, William ; Ingersoll, Jonathan ; Spiegel, Matthew ; Welch, Ivo
Institutions:	School of Management, Yale University

More details

Extent:	application/pdf
Series:	Yale School of Management Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008854015