PERFORMANCE REPORTING: THE BASICS AND BEYOND, PART II
- An Argument for "Generalized" Mean-Coefficient of Variation Analysis. Wachowicz Jr., John M.; Shrieves, Ronald E. // Financial Management (1972);Winter80, Vol. 9 Issue 4, p51
Focuses on the use of the coefficient of variation as a risk measure of investment in the U.S. In using the coefficient of variation as a risk measure, it provides a partial reconciliation among several investment criteria. This reconciliation results from noting that the coefficient of...
- Generalized deviations in risk analysis. Rockafellar, R.; Uryasev, Stan; Zabarankin, Michael // Finance & Stochastics;2006, Vol. 10 Issue 1, p51
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such measures include standard deviation as a special case but need not be symmetric with respect to ups and downs. Their...
- A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model. Alexander, Gordon J.; Baptista, Alexandre M. // Management Science;Sep2004, Vol. 50 Issue 9, p1261
In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk (VaR) constraint on the mean-variance model, and compare them with those arising from the imposition of a conditional value-at-risk (CVaR) constraint. We show that for a given confidence level, a...
- A Nonparametric Test for Comparing Any Number of Variances. Nelson, Lloyd S. // Journal of Quality Technology;Jan2002, Vol. 34 Issue 1, p130
Focuses on a nonparametric test for comparing any number of variances. Absolute deviations from the sample medians; One-way analysis of variance of the values.
- List-Strength Effect: II. Theoretical Mechanisms. Shiffrin, Richard M.; Ratcliff, Roger; Clark, Steven E. // Journal of Experimental Psychology. Learning, Memory & Cognition;Mar1990, Vol. 16 Issue 2, p179
Examines the list-strength predictions for several current models and consider the various modifications might bring the predictions in line with the data. Description of the general terms that are most crucial to the list-strength predictions; Provision of list-strength effect; Standard...
- Technique of calculating the deviations of the shape of cylindrical constructions relative to a circle of least deviation. Minimal annular zone. B. Novikov // Measurement Techniques;May2007, Vol. 50 Issue 5, p516
AbstractÂ Â A technique of determining the deviations of shape relative to a circle of least deviations and an example illustrating its practical implementation are presented.
- The Effects of Incentive Compensation Contracts on the Risk and Return Performance of Commodity Trading Advisors. Golec, Joseph H. // Management Science;Nov93, Vol. 39 Issue 11, p1396
This paper shows that commodity trading advisors' (CTAs) investment performance may be partially explained by their incentive compensation contracts. Contracts include base, incentive and asset parameters. The relationships between contract parameters and performance are theoretically...
- Time Diversification: Tool, Fallacy or Both? Kochman, Ladd; Goodwin, Randy // American Business Review;Jun2002, Vol. 20 Issue 2, p55
Concludes that time diversfication is more nearly a fallacy than a tool for reducing risk. Claims of supporters and opponents of time diversification; Third scenario in which time diversification is a conditional phenomenon.
- Playing the third standard deviation odds when you cannot afford to be wrong once. Lacey, James // Army Magazine;May99, Vol. 49 Issue 5, p10
Discusses the use of the value-at-risk (VAR) method of risk management in United States military planning and operations. Danger of VAR-based planning in the military; Principles of standard deviation; Assertion that third standard deviation events do happen; Need to prepare resources for a...