A hybrid approach to the discrepancy in financial performance’s robustness

Performance measurement is a crucial ingredient in the industry of investment funds. Mainly grounded on indices of risk-adjusted returns, it requires historical data to estimate the relevant statistics such as the Sharpe ratio. Therefore the measurement process is sensitive to outliers in the time s...

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Veröffentlicht in:	Operational research 2022-11, Vol.22 (5), p.5441-5476
Hauptverfasser:	Arcidiacono, Sally G., Rossello, Damiano
Format:	Artikel
Sprache:	eng
Schlagworte:	Breakdown Business and Management Computational Intelligence Iterative methods Management Science Monte Carlo simulation Operations Research Operations Research/Decision Theory Optimization Original Paper Outliers (statistics) Performance evaluation Performance measurement Robustness (mathematics) Sensitivity
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