Portfolio Performance Evaluation: Old Issues and New Insights
构建了一个模型，探讨投资组合绩效评估中的基准选择、市场择时导致的风险高估以及风险厌恶对收益的影响，认为这些并非评估的严重障碍。
This article presents a model that provides insights about various measures of portfolio performance. The model explores several criticisms of these measures. These include the problem of identifying an appropriate benchmark portfolio, the possibility of overestimating risk because of market-timing ability, and the failure of informed investors to earn positive risk-adjusted returns because of increasing risk aversion. The article argues that these need not be serious impediments to performance evaluation.