Management Performance Measures Based on Portfolio Returns’ Standard Deviation – Are They Applicable in a Low Liquidity Market Environment?

Petar Atanasov
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Petar Atanasov: University of National and World Economy, Sofia, Bulgaria

Economic Alternatives, 2010, issue 2, 79-94

Abstract: The aim of this article is to analyze the distorting effect of low liquidity on the management performance measures based on overall risk, measured by the standard or semi-standard deviation of portfolio returns – Sharpe Measure, Sortino Ratio, etc.

Keywords: overall risk; Sharp Measure; Sortino Ratio; probability distribution of returns; standard deviation; semi-standard deviation; skewness; liquidity; VaR-analysis (search for similar items in EconPapers)
JEL-codes: G31 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:nwe:eajour:y:2010:i:2:p:79-94

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