In a recent paper, Lo (2002) derives the asymptotic distribution of the Sharpe ratio under several sets of assumptions for the return-generating process. In this paper, we extend his work to the information ratio (IR), the ratio of the excess return of a portfolio over his benchmark to its...

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...