Grau-Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - 2009
Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on … the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by …-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these …