Risk-Adjusted Portfolio Performance Measures

Clifford S. Ang ()
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Clifford S. Ang: Compass Lexecon

Chapter 6 in Analyzing Financial Data and Implementing Financial Models Using R, 2015, pp 193-208 from Springer

Abstract: Abstract To achieve higher returns, we have to take on more risk. In this chapter, we demonstrate how to calculate various commonly-used risk-adjusted portfolio performance measures, which allows us to rank different investments by their risk-return profile.

Keywords: Sortino Ratio; Treynor Ratio; Alternative Portfolio; Sharpe Ratio; Risk-adjusted Performance Measures (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-14075-9_6

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DOI: 10.1007/978-3-319-14075-9_6

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