TITLE

An Information Theoretic Indicator for Evaluating Superior Performance

AUTHOR(S)
Lashgari, Malek
PUB. DATE
June 2001
SOURCE
American Business Review;Jun2001, Vol. 19 Issue 2, p26
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
4738273

 

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