On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note
指出多数实证研究中基于VaR的绩效度量使用不一致，并提出了一个通用框架，可推导出适用于满足特定属性的所有收益和风险度量的绩效度量公式。
The portfolio performance measures based on the Value at Risk (VaR) concept have gained widespread popularity and are often used in empirical studies. In the majority of empirical studies, however, a VaR-based performance measure is inconsistently used. In this article, Zakamouline emphasizes how to consistently use VaR in portfolio performance evaluation. He also elaborates on a simple framework that allows the derivation of a general formula for a portfolio performance measure that is not limited to the use of VaR-based reward and risk measures, but is valid for all reward and risk measures that satisfy a few plausible properties. <b>TOPICS:</b>Performance measurement, VAR and use of alternative risk measures of trading risk, quantitative methods