Review of Financial Studies Vol. 20 No. 5 2007
Portfolio Performance Manipulation and Manipulation-proof Performance Measures
Abstract
Over the years numerous portfolio performance measures have been proposed. In general they are designed to capture some particular enhancement that might result from active management. However, if a principal uses a measure to judge an agent, then the agent has an incentive to game the measure. Our paper sh
- DOI
- 10.1093/rfs/hhm025
- Volume
- 20
- Issue
- 5
- Pages
- 1503-1546
- Language
- en
- Sources
- openalex crossref