Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
William Goetzmann (),
Matthew Spiegel and
Ivo Welch ()
Yale School of Management Working Papers from Yale School of Management
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:amz2471
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