In our previous study, the empirical relationship between Sharpe measure and its risk proxy was shown to be dependent on the sample size, the investment horizon and market conditions. This important result is generalized in the present study to include Treynor and Jensen performance measures....

Sharpe's, Treynor's and Jensen's measures have been extensively used for the performance evaluation of mutual funds or portfolios. These three widely used performance measures have been found to be highly correlated with their corresponding risk measures by a number of empirical studies. This...

This paper generalizes Stein's (Stein, C. 1973. Estimation of the mean of a multivariate normal distribution. Proc. Prague Sympos. Asymptotic Statistics, September 1973.), Rubinstein's (Rubinstein, M. 1973b. A comparative static analysis of risk premiums. J. Bus. 46(October) 604--615; Rubinstein,...