Economics at your fingertips  

Financial Crisis, Intervention and Performance Measurement

Apostolos Xanthopoulos Ph.D

International Journal of Economics & Business Administration (IJEBA), 2014, vol. II, issue 4, 14-35

Abstract: Aspects of the financial markets that became apparent in the 2008 crisis were exacerbated by the intervention of monetary authorities. Financial markets under stress validate the general concept of Prospect Theory, under certain assumptions about the distributional characteristics of asset returns. This validation points to the need for re-examining performance metrics, such as the Sharpe Ratio and the Information Ratio. This analysis proposes new ratios that accommodate a higher moment of the portfolio return distribution. This alteration is reflected by the qualitative analysis of investment managers, which is performed by the performance evaluation industry, as it pertains to fixed income.

Keywords: Quadratic Utility Function; Nonlinear Asset Response; Portfolio Kurtosis. (search for similar items in EconPapers)
JEL-codes: G11 G15 C02 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in International Journal of Economics & Business Administration (IJEBA) from International Journal of Economics & Business Administration (IJEBA)
Series data maintained by Marios Agiomavritis ().

Page updated 2018-03-22
Handle: RePEc:ers:ijebaa:v:ii:y:2014:i:4:p:14-35