Mathematica code for checking the equations of the article.
Oxford Bulletin of Economics and Statistics (2022)
Matsuoka Hideaki
By Bosch-Badia Maria-Teresa, Montllor-Serrats Joan, and Tarrazon-Rodon Maria-Antonia
Journal of Banking and Finance (2014)
This paper focuses on analyzing functional relationships among performance measures, centered on the adjusted differential risk premium between the asset and the benchmark and on Sharpe-1994 ratio. First, we develop a risk normalization procedure for variance and Aumann-Serrano riskiness which turns contradictory rankings into coherent ones, and combines the effects of correlation and outliers into the analysis. On this basis, we deduce functional connections among performance measures, arriving at a new indicator which expresses performance as the addition of three effects due to Sharpe ratio, correlation and outliers. We show it is a strictly increasing function of Homm-Pigorsch ratio.
Bosch-Badia M., Montllor-Serrats J., and Tarrazon-Rodon M. (2014) Unveiling the Embedded Coherence in Divergent Performance Rankings. Journal of Banking and Finance.