TY - JOUR
T1 - Portfolio performance evaluation using value at risk
AU - Alexander, Gordon J.
AU - Baptista, Alexandre M.
PY - 2003/6/1
Y1 - 2003/6/1
N2 - Developed here is a value at risk-based measure of portfolio performance called the reward-to-VaR ratio. it is demonstrated that, under normality, the reward-to-VaR ratio gives the same ranking for portfolio performance as the frequently used Sharpe ratio. Under non-normality, the reward-to-VaR ratio at one confidence level may give a ranking for portfolio performance different from the ranking obtained at a different confidence level. This indicates that the risk-taking incentives of a portfolio manager in a VaR-based risk management system can be substantially different from the incentives in a Sharpe ratio-based system.
AB - Developed here is a value at risk-based measure of portfolio performance called the reward-to-VaR ratio. it is demonstrated that, under normality, the reward-to-VaR ratio gives the same ranking for portfolio performance as the frequently used Sharpe ratio. Under non-normality, the reward-to-VaR ratio at one confidence level may give a ranking for portfolio performance different from the ranking obtained at a different confidence level. This indicates that the risk-taking incentives of a portfolio manager in a VaR-based risk management system can be substantially different from the incentives in a Sharpe ratio-based system.
UR - http://www.scopus.com/inward/record.url?scp=0041831088&partnerID=8YFLogxK
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M3 - Article
AN - SCOPUS:0041831088
SN - 0095-4918
VL - 29
SP - 93-102+7+9
JO - Journal of Portfolio Management
JF - Journal of Portfolio Management
IS - 4
ER -