Referenzpunktbezogene risikoadjustierte Performancemaße: theoretische Grundlagen

Peter Albrecht and Timo Klett

No 04-10, Papers from Sonderforschungsbreich 504

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.

Date: 2004
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