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A note on the relationship among the portfolio performance indices under rank transformation

  • Hung K
  • Yang C
  • Means D
Springer US, (2006), 470-476
DOI: 10.1007/978-0-387-26336-6_47
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Abstract

… DWIGHT B. MEANS, Jr., Consultant, USA Abstract This paper analytically determines the conditions under which four commonly utilized portfolio meas- ures (theSharpeindex, theTreynorindex, theJensen alpha, and the Adjusted Jensen's alpha) will be simi- lar and different …

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Hung, K., Yang, C.-W., & Means, D. B. (2006). A note on the relationship among the portfolio performance indices under rank transformation. In Encyclopedia of Finance (pp. 470–476). Springer US. https://doi.org/10.1007/978-0-387-26336-6_47

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