Measuring performance in a dynamic world: Conditional mean–variance fundamentals

Jha, Ranjini; Korkie, Bob; Turtle, Harry J.

doi:10.1016/j.jbankfin.2009.04.007

Cited by 24 publications

(27 citation statements)

References 26 publications

(34 reference statements)

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“…ized Sharpe Ratios can be used in the portfolio performance evaluation. See also Farinelli et al (2008) and Jha et al (2009) for other measures than the Sharpe Ratio in order to analyze portfolio performances. 19 Although negative Sharpe Ratios could be misleading, it is not the case in our study.…”

Section: An Application: Portfolio Diversification Strategiesmentioning

confidence: 99%

The impact of terrorism on financial markets: An empirical study

Chesney¹,

Reshetar²,

Karaman³

2011

Journal of Banking & Finance

316

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The main focus of this paper is to previous termstudynext term empirically the previous termimpact of terrorismnext term on the behavior of stock, bond and commodity previous termmarkets.next term We consider terrorist events that took place in 25 countries over an 11-year time period and implement our analysis using different methods: an event-previous termstudynext term approach, a non-parametric methodology, and a filtered GARCH-EVT approach. In addition, we compare the effect of terrorist attacks on previous termfinancial markets with the impactnext term of other extreme events such as previous termfinancialnext term crashes and natural catastrophes. The results of our analysis show that a non-parametric approach is the most appropriate method among the three for analyzing the previous termimpact of terrorism on financial markets.next term We demonstrate the robustness of this method when interest rates, equity previous termmarketnext term integration, spillover and contemporaneous effects are controlled. We show how the results of this approach can be used for investors' portfolio diversification strategies against previous termterrorismnext term risk.

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Section: An Application: Portfolio Diversification Strategiesmentioning

confidence: 99%

The impact of terrorism on financial markets: An empirical study

Chesney¹,

Reshetar²,

Karaman³

2011

Journal of Banking & Finance

316

View full text Add to dashboard Cite

show abstract

“…23 It would be interesting to check if we may similarly observe a convergence among international stock markets when we use the conditional mean-variance framework or consider higher moments such as skewness and kurtosis. In a related paper, Jha et al (2009) document that there is a significant difference in the stock market alpha between unconditional and conditional mean-variance frameworks. You and Daigler (2009), on the other hand, show that the gains from international diversification are affected by the non-normality of stock returns.…”

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confidence: 99%

Mean–variance convergence around the world

Eun

Lee²

2010

Journal of Banking & Finance

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“…In general, the conditional alpha for any given portfolio is given by α j + ϕ 0, j C t where the normal period component is α j , and ϕ 0, j C t represents the change in alpha during a crisis (cf. Ferson andSchadt, 1996, andJha, Korkie, andTurtle, 2009). Significant estimates of ϕ 0, j indicate an expected excess return shock during crises.…”

Section: Controlling For International Risk Sourcesmentioning

confidence: 99%