Cherny, Alexander; Madan, Dilip - In: Review of Financial Studies 22 (2009) 7, pp. 2371-2406
This paper characterizes performance measures satisfying a set of proposed axioms. We develop four new measures consistent with the axioms and show that they improve on the economic properties of the Sharpe Ratio and the Gain-Loss Ratio. In our treatment, the performance measures, or the indexes...