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Portfolio Performance Manipulation and Manipulation-Proof Performance Measures

William Goetzmann (), Jonathan Ingersoll, Matthew Spiegel and Ivo Welch ()

Yale School of Management Working Papers from Yale School of Management

Abstract: Over the years numerous portfolio performance measures have been proposed. In general they are designed to capture some particular enhancement that might result from active management. However, if a principal uses a measure to judge an agent, then the agent has an incentive to game the measure. Our paper sh

Date: 2002-03-01, Revised 2006-04-01
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Journal Article: Portfolio Performance Manipulation and Manipulation-proof Performance Measures (2007) Downloads
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