An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel's monkey

We propose an implementable portfolio performance evaluation procedure that compares a portfolio with respect to the portfolios constructed by an infinite number of Malkiel's blindfolded monkeys, or equivalently the whole enumeration of all possible portfolios. We argue that this approach exhib...

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Veröffentlicht in:	Applied economics 2018-08, Vol.50 (40), p.4318-4327
Hauptverfasser:	Lee, Yongjae, Kwon, Do-Gyun, Kim, Woo Chang, Fabozzi, Frank J.
Format:	Artikel
Sprache:	eng
Schlagworte:	Alternative approaches blindfolded monkey Economic analysis Economic theory Enumeration Funds Portfolio management Portfolio performance Portfolio performance evaluation Portfolios Primates random portfolio Sharpe ratio
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