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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.som.yale.edu/icfpub/publications/2471.pdf (application/pdf)

Related works:
Journal Article: Portfolio Performance Manipulation and Manipulation-proof Performance Measures (2007)
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: https://EconPapers.repec.org/RePEc:ysm:wpaper:amz2471

Access Statistics for this paper

More papers in Yale School of Management Working Papers from Yale School of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().