Nematrian Reference Library
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| Reference | Title | Link |
| Shadwick, W.F. and Keating, C. (2002) | A Universal Performance Measure | |
Abstract
"We propose and examine a new performance measure in the spirit of the downside, lower partial moment and gain-loss literatures. We indicate how this may be applied across a broad range of problems in financial analysis. The performance measure captures all of the higher moments of the returns distribution. The performance measure is applied to a range of hedge fund style or strategy indices." |
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