Portfolio Performance Measurement: a No Arbitrage Bounds Approach
提出一种在不完全市场中评估共同基金绩效的新方法，基于无套利条件构建绩效度量的可行边界，并用320只股票基金数据展示投资者对基金评价的分歧，指出现有参数化度量可能存在较大推断误差。
Abstract This paper presents a new method to examine the performance evaluation of mutual funds in incomplete markets. Based on the no arbitrage condition, we develop bounds on admissible performance measures. We suggest new ways of ranking mutual funds and provide a diagnostic instrument for evaluating the admissibility of candidate performance measures. Using a monthly sample of 320 equity funds, we show that admissible performance values can vary widely, supporting the casual observation that investors disagree on the evaluation of mutual funds. In particular, we cannot rule out that more than 80% of the mutual funds are given positive values by some investors. Moreover, we empirically demonstrate that potential inference errors embedded in existing parametric performance measures can be of important magnitude.