SFB 504 discussion paper 04-10

Peter Albrecht
Sonderforschungsbereich 504
L 13, 15, D-68131 Mannheim
risk@bwl.uni-mannheim.de

Timo Klett
Sonderforschungsbereich 504
L 13, 15, D-68131 Mannheim
tklett@rumms.uni-mannheim.de

Referenzpunktbezogene risikoadjustierte Performancemaße: Theoretische Grundlagen

Abstract:

The present contribution deals with a consistent and general foundation of target-based risk-adjusted performance measures. First of all measures of shortfall risk and upside reward are introduced to establish a basis for discussing the corresponding risk-adjusted performance measures afterwards. Thereby the authors concentrate on Omega- and Psi-Performance Measures. They present their most important properties and their connection with other risk-adjusted performance measures like the (Generalized) Downside Performance Ratio, the Upside Potential Ratio or the Sortino-Ratio. Finally first and second order Omega- and Psi-Performance Measures are derived for the normal distribution, the lognormal distribution and the Weibull distribution.

Keywords:

JEL-Classification:

Project:

B2 Albrecht

Creation date:

2004-04-08

Publication Status

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http://www.sfb504.uni-mannheim.de/publications/dp04-10.pdf

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