Bosch-Badia, Maria Teresa; Montllor-Serrats, Joan; … - In: Journal of Banking & Finance 42 (2014) C, pp. 154-165
This paper focuses on analyzing functional relationships among performance measures, centered on the adjusted differential risk premium between the asset and the benchmark and on Sharpe-1994 ratio. First, we develop a risk normalization procedure for variance and Aumann–Serrano riskiness which...