基于参照依赖偏好理论的评价指标
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摘要
现有的评价指标大都采用比率的形式,针对它们存在的局限性,文章根据参照依赖偏好理论,在参照依赖效用基础上构造了一种评价指标。研究表明该评价指标具有一些比较好的性质,这些都充分说明该评价指标具有一定的研究价值。
Most of the existing evaluation indexes are in the form of ratio. In view of their limitations, this paper depends on the theory of reference-dependence preference to construct an evaluation index based on the reference-dependence utility. The research shows that the evaluation index has some good properties, all of which fully indicate that the evaluation index has certain research value.
Most of the existing evaluation indexes are in the form of ratio. In view of their limitations, this paper depends on the theory of reference-dependence preference to construct an evaluation index based on the reference-dependence utility. The research shows that the evaluation index has some good properties, all of which fully indicate that the evaluation index has certain research value.
引文
[1]Sharpe W F.Mutual Fund Performance[J].Journal of Business,1966,(39).
[2]Yitzhaki S.Stochastic Dominance,Mean Variance,and Gini’s Mean Difference[J].The American Economic Review,1982,72(1).
[3]Sharpe W F.The Sharpe Ratio[J].Journal of Portfolio Management1994,(20).
[4]Dowd K.Adjusting for Risk:An Improved Sharpe Ratio[J].International Review of Economics&Finance,2000,9(3).
[5]Sortino F A,Satchell S.Managing Downside Risk in Financial Markets[M].London:Butterworth-Heinemann,2001.
[6]Bernardo A,Ledoit O.Gain,Loss,and Asset Pricing[J].Journal of Political Economy,2000,108(1).
[7]Keating C,Shadwick W F.A Universal Performance Measure[J].Journal of Performance Measurement,2002,(6).
[8]Biglova A,Ortobelli S,Rachev S T,et al.Dierent Approaches to Risk Estimation in Portfolio Theory[J].Journal of Portfolio Management2004,(31).
[9]Eling M.Does the Measure Matter in the Mutual Fund Industry?[J]Financial Analysts Journal,2008,64(3).
[10]Auer B R.Does the Choice of Performance Measure Influence the Evaluation of Commodity Investments?[J].International Review of Financial Analysis,2015,(38).
[11]Guo B,Xiao Y.A Note on Why Doesn’t the Choice of Performance Measure Matter?[J].Finance Res.Lett,2016,(16).
[12]Kahneman D,Tversky A.Prospect Theory:An Analysis of Decision Under Risk[J].Econometrica,1979,47(2).
[13]Koszegi B,Rabin M.Reference-Dependent Risk Attitudes[J].American Economic Review,2007,97(4).
[14]Koszegi B,Rabin M.A Model of Reference-Dependent Preferences[J].Quarterly Journal of Economics 2006,(121).
[15]Cherny A,Madan D.New Measures for Performance Evaluation[J].Review of Financial Studies,2009,22(7).
[2]Yitzhaki S.Stochastic Dominance,Mean Variance,and Gini’s Mean Difference[J].The American Economic Review,1982,72(1).
[3]Sharpe W F.The Sharpe Ratio[J].Journal of Portfolio Management1994,(20).
[4]Dowd K.Adjusting for Risk:An Improved Sharpe Ratio[J].International Review of Economics&Finance,2000,9(3).
[5]Sortino F A,Satchell S.Managing Downside Risk in Financial Markets[M].London:Butterworth-Heinemann,2001.
[6]Bernardo A,Ledoit O.Gain,Loss,and Asset Pricing[J].Journal of Political Economy,2000,108(1).
[7]Keating C,Shadwick W F.A Universal Performance Measure[J].Journal of Performance Measurement,2002,(6).
[8]Biglova A,Ortobelli S,Rachev S T,et al.Dierent Approaches to Risk Estimation in Portfolio Theory[J].Journal of Portfolio Management2004,(31).
[9]Eling M.Does the Measure Matter in the Mutual Fund Industry?[J]Financial Analysts Journal,2008,64(3).
[10]Auer B R.Does the Choice of Performance Measure Influence the Evaluation of Commodity Investments?[J].International Review of Financial Analysis,2015,(38).
[11]Guo B,Xiao Y.A Note on Why Doesn’t the Choice of Performance Measure Matter?[J].Finance Res.Lett,2016,(16).
[12]Kahneman D,Tversky A.Prospect Theory:An Analysis of Decision Under Risk[J].Econometrica,1979,47(2).
[13]Koszegi B,Rabin M.Reference-Dependent Risk Attitudes[J].American Economic Review,2007,97(4).
[14]Koszegi B,Rabin M.A Model of Reference-Dependent Preferences[J].Quarterly Journal of Economics 2006,(121).
[15]Cherny A,Madan D.New Measures for Performance Evaluation[J].Review of Financial Studies,2009,22(7).