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Testing for the best alternative with an application to performance measurement
Frahm, Gabriel - 2007
Suppose that we are searching for the maximum of many unknown and analytically untractable quantities or, say, the 'best alternative' among several candidates. If our decision is based on historical or simulated data there is some sort of selection bias and it is not evident if our choice is...
Persistent link: https://www.econbiz.de/10010304419
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Investors' direct stock holdings and performance evaluation for mutual funds
Breuer, Wolfgang; Gürtler, Marc - 2004
Investors need performance measures particularly as a means for funds selection in the process of exante portfolio optimization. Unfortunately, there are various performance measures recommended for different decision situations. Since an investor may be uncertain which kind of decision problem...
Persistent link: https://www.econbiz.de/10010307957
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An intersection-union test for the sharpe ratio
Frahm, Gabriel - In: Risks 6 (2018) 2, pp. 1-13
An intersection-union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection-union test takes serial dependence into account and does...
Persistent link: https://www.econbiz.de/10011996598
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The outperformance probability of mutual funds
Frahm, Gabriel; Huber, Ferdinand - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-29
We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion framework. The given results are used to...
Persistent link: https://www.econbiz.de/10012611179
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Fishing for Excuses and Performance Evaluation
Larmande, François; Ponssard, Jean-Pierre - 2014
We study a principal-agent model in which the agent can provide ex post additional relevant information regarding his performance. In particular, he can provide a legitimate excuse, that is, evidence that a poor result is only due to factors outside his control. However, building a convincing...
Persistent link: https://www.econbiz.de/10010328856
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Precision and Manipulation of Non‐financial Information: The Curious Case of Environmental Liability
Grahn, Aline - In: Abacus 56 (2020) 4, pp. 495-534
distinguish between a negligence regime and strict liability. The results suggest that if there is no manipulation but only a lack …. While manipulation makes it easier for shareholders to escape liability under a negligence regime, shareholders suffer from … manipulation under strict liability due to higher actual pollution and higher expected damage compensation payments. Therefore, the …
Persistent link: https://www.econbiz.de/10012509521
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Explaining Hedge Fund Investment Styles by Loss Aversion
Siegmann, Arjen; Lucas, André - 2002
Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10010324945
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Heterogenität von Hedgefondsindizes
Heidorn, Thomas; Hoppe, Christian; Kaiser, Dieter G. - 2006
Most research on the performance and risk of hedge funds are based on calculations that just use the data from one index provider. Also most product providers and even more and more investors are using hedge fund indices for benchmarking purposes. As some academic articles pointed out, the world...
Persistent link: https://www.econbiz.de/10010298915
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Multiple tests for the performance of different investment strategies
Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - 2010
In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...
Persistent link: https://www.econbiz.de/10010304605
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Financial performance of the Czech private pension scheme: Its current position and the comparison with other CEE countries
Hlaváč, Jan - 2011
This paper focuses on the comparison of financial performance of the Czech voluntary private pension scheme with five other reformed private pension schemes in the region of Central Eastern Europe (Bulgaria, Croatia, Hungary, Poland and Slovak Republic). The current state and the recent...
Persistent link: https://www.econbiz.de/10010322297