An Information Theoretic Indicator for Evaluating Superior Performance

Lashgari, Malek
June 2001
American Business Review;Jun2001, Vol. 19 Issue 2, p26
Academic Journal
Evaluates the consistency of the surprise index with the performance measurement process of managed portfolios. Construction of the information theoretical performance index; Advantages of the use of the surprise index; Reasons for using the surprise index in conjunction with the Sharpe ratio.


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