Non-normality in asset returns is now a common feature of financial markets. However, many practitioners as well as investors do still refer to classic risk adjusted performance measures to assess their investment. Fo...Non-normality in asset returns is now a common feature of financial markets. However, many practitioners as well as investors do still refer to classic risk adjusted performance measures to assess their investment. For example, Sharpe and Treynor ratios are designed for a Gaussian world. Then, employing them for a performance assessment prospect relative to the risk borne is a biased approach. If we look for consistency in risk assessment and in asset performance valuation, we need to look for robust methods or tools. Moreover, the well-known mathematical consistency and numerical tractability concerns drive our preference for simple methods. Under this setting, we propose to account in a simple way and to some extent for the skewness and kurtosis patterns describing the deviations from normality. We adjust therefore the classic Sharpe and Treynor ratios to asymmetries in the downside and upside deviations from the mean values of asset returns. Specifically, the adjusted Sharpe and Treynor ratios are weighted by the upside and downside deviation risks. Accounting for skewness and kurtosis changes generally the ranking of hedge fund performance. Moreover, the obtained adjusted performance measures capture well the skewness and/or kurtosis patterns in hedge fund returns depending on the targeted investment strategy展开更多
The framework of forest valuation accounting has been formed through the development stages of timber value calculation, forest ecosystem valuation and entire value accounting of forest resources, including the forest...The framework of forest valuation accounting has been formed through the development stages of timber value calculation, forest ecosystem valuation and entire value accounting of forest resources, including the forest values of resources in kind, environmental resources and social benefits in China. These theory and methods still face deviation of theories and methods from vague position of discipline, larger accounting results from ignoring differences between forest ecological functions and ecosystem services, and unrealistic and other problems from non-standard index system and accounting methods due to the development history and other reasons. Five suggestions are proposed to make explicit the object and purpose of the forest resource value accounting, establish universal, scientific, measurable and concise index system for value evaluation, calculate forest resources value in consideration of forest type and position, distinguish accurately the functions from benefits of the forest resources, and suit value calculation result to the practice of social economy.展开更多
文摘Non-normality in asset returns is now a common feature of financial markets. However, many practitioners as well as investors do still refer to classic risk adjusted performance measures to assess their investment. For example, Sharpe and Treynor ratios are designed for a Gaussian world. Then, employing them for a performance assessment prospect relative to the risk borne is a biased approach. If we look for consistency in risk assessment and in asset performance valuation, we need to look for robust methods or tools. Moreover, the well-known mathematical consistency and numerical tractability concerns drive our preference for simple methods. Under this setting, we propose to account in a simple way and to some extent for the skewness and kurtosis patterns describing the deviations from normality. We adjust therefore the classic Sharpe and Treynor ratios to asymmetries in the downside and upside deviations from the mean values of asset returns. Specifically, the adjusted Sharpe and Treynor ratios are weighted by the upside and downside deviation risks. Accounting for skewness and kurtosis changes generally the ranking of hedge fund performance. Moreover, the obtained adjusted performance measures capture well the skewness and/or kurtosis patterns in hedge fund returns depending on the targeted investment strategy
文摘The framework of forest valuation accounting has been formed through the development stages of timber value calculation, forest ecosystem valuation and entire value accounting of forest resources, including the forest values of resources in kind, environmental resources and social benefits in China. These theory and methods still face deviation of theories and methods from vague position of discipline, larger accounting results from ignoring differences between forest ecological functions and ecosystem services, and unrealistic and other problems from non-standard index system and accounting methods due to the development history and other reasons. Five suggestions are proposed to make explicit the object and purpose of the forest resource value accounting, establish universal, scientific, measurable and concise index system for value evaluation, calculate forest resources value in consideration of forest type and position, distinguish accurately the functions from benefits of the forest resources, and suit value calculation result to the practice of social economy.
