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...

This paper examines and compares the constant mix and buy-and-hold portfolio strategies. To this end, we examine and illustrate their performances using various criteria such as comparison of their payoffs, basic properties of their return cumulative distribution functions and their performances...

In this article, we show that performance attribution considered alone can be misleading. Indeed, a portfolio manager who knows perfectly the distribution of asset's returns and who performs a relative portfolio optimization according to that information, may be penalized in some of her choices...

Research has shown that adding constraints to total portfolio volatility can substantially improve the performance of managed portfolios. Although other work has considered constant tracking-error volatility frontiers, in this study tracking error was allowed to vary but the risk aversion was...

This paper examines some properties of portfolio insurance that are linked to the risk aversion and the prudence of the investor. We provide explicit conditions to measure portfolio sensitivity to downside risk. We also characterize the degree of portfolio insurance by means of the ratio of...

This paper examines the equilibrium of financial portfolios under insurance