摘要
提出了用于投资基金绩效评价的新决策准则 ,该准则是传统的夏普准则的推广 ,由于该准则巧妙地解决了投资决策中的相关性问题 ,因而比传统的夏普准则适用范围广 ,进而用实例说明了采用传统的夏普准则可能做出错误的决策。
This paper proposes a new rule for portfolio performance evaluation. This rule is a generalization of the well-known Sharpe ratio criterion. The rule is superior to existing rules such as the standard Sharpe rule because it skillfully solves the problem of correlation. This paper also illustrates how the two methods can make a substantial difference in estimates of required returns.
出处
《管理科学》
2003年第3期39-42,共4页
Journal of Management Science
基金
国家自然科学基金重点资助项目 ( 79930 90 0 )
关键词
证券投资组合
夏普比率
风险调整
绩效评估
Portfolio selection
Sharpe ratio
Risk adjustment
Performance evaluation
