On the Jensen Measure and Marginal Improvements in Portfolio Performance: A Note
识别了新资产对投资组合绩效的边际贡献，发现夏普比率的最大变化是广义詹森指数和多元市场模型未解释协方差的简单函数，可用于评估资产添加的优劣。
ABSTRACT The marginal performance contribution made by new assets in a portfolio is identified. The maximum change in a portfolio's Sharpe performance from the addition of new assets is a simple function of a generalized Jensen index and the unexplained covariances from a multivariate market model. Deviations from a higher dimension market line may be used to rank the desirability of asset additions to an existing portfolio. Statistical tests for the equality of the performance contributions by new assets is possible.