Referenzpunktbezogene risikoadjustierte Performancemaße : theoretische Grundlagen

Albrecht, Peter ; Klett, Timo

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URN: urn:nbn:de:bsz:180-madoc-2648
Document Type: Working paper
Year of publication: 2004
The title of a journal, publication series: Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Volume: 158
Place of publication: Mannheim
Publication language: German
Institution: Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
MADOC publication series: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft (Albrecht) > Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Subject: 330 Economics
Subject headings (SWD): Performance <Kapitalanlage> , Risikomaß
Abstract: The present contribution deals with a consistent and general foundation of target-based risk-adjusted performance measures. First of all measures of shortfall risk and upside reward are introduced to establish a basis for discussing the corresponding risk-adjusted performance measures afterwards. Thereby the authors concentrate on Omega- and Psi-Performance Measures. They present their most important properties and their connection with other risk-adjusted performance measures like the (Generalized) Downside Performance Ratio, the Upside Potential Ratio or the Sortino-Ratio. Finally first and second order Omega- and Psi-Performance Measures are derived for the normal distribution, the lognormal distribution and the Weibull distribution.
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