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Risk-Adjusted Portfolio Performance Measures

  • Ang C
DOI: 10.1007/978-3-319-14075-9_6
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Abstract

… portfolios. This study uses R program to perform the computation of four risk- adjusted measurements: a. Sharpe Ratio, b. Treynor Ratio, c. Jensen's Alpha, and d. Modigliani Ratio. The results computed are then compared against the … 16 2.4.3 Jensen's Alpha 18 2.4.4 M-squared …

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APA

Ang, C. S. (2015). Risk-Adjusted Portfolio Performance Measures (pp. 193–208). https://doi.org/10.1007/978-3-319-14075-9_6

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