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Portfolio Performance Measurement Bibliography

• AMENC, Noël and Lionel MARTELLINI, 2003. The Alpha and Omega of Hedge Fund Performance Measurement. Edhec.
• AMENC, Noël, et al., Taking a Close Look at the European Fund of Hedge Funds Industry - Comparing and Contrasting Industry Best Practices and Academic Recommendations. Edhec. [not cited] (?/year)
• AMENC, Noël, Susan CURTIS and Lionel MARTELLINI, 2003. The Alpha and Omega of Hedge Fund Performance Measurement.
• ANDERSSON, M. and J. JERKANDER, [not cited] (?/year)
• ARUGASLAN, O. and A.S. EDWARDS, 2007. Evaluating large US-based equity mutual funds using risk-adjusted performance measures. International Journal of Commerce and Management. [not cited] (0/year)
• ASNESS, C., et al., Benchmarking. COPYRIGHTED MATERIAL. [not cited] (?/year)
• AUSTRALIA, S.G.M.D., et al., 1996. Monthly Report. [not cited] (0/year)
• BACMANN, J.-F. and S. SCHOLZ, 2003. Alternative performance measures for hedge funds, AIMA Journal.
• BACMANN, Jean-François and Stefan SCHOLZ, 2003. Alternative Performance Measures for Hedge Funds, AIMA Journal.
• BACON, Carl, Monitoring and measuring performance and risk in the hedge fund world
• BARON, David P., 1977. On the Utility Theoretic Foundations of Mean-Variance Analysis. The Journal of Finance, 32(5), 1683–1697.
• BARTON, V., Statistical Characteristics of Traditional and Non-Traditional Asset Classes: Monthly Returns January …. albany.edu. [not cited] (?/year)
• BER?NYI, Z., 2001. Performance of Leveraged Asset Funds. [Cited by 1] (0.16/year)
• BERENYI, Z., 2002. Measuring hedge fund risk with multi-moment risk measures. University of Munich. [Cited by 7] (1.34/year)
• BIERWAG, G. O., 1974. The Rationale of the Mean-Standard Deviation Analysis: Comment, The American Economic Review, 64(3), 431–433.
• BORCH, Karl, 1974. The Rationale of the Mean-Standard Deviation Analysis: Comment, The American Economic Review, 64(3), 428–430.
• BOSTIC, C., L. DUONG and Q. YANG, American Barrick Resources Corporation Case Analysis Report. personal.utulsa.edu. [not cited] (?/year)
• CARRETTA, A. and G. MATTAROCCI, 2005. The performance evaluation of hedge funds: a comparison of different approaches using European data. [not cited] (0/year)
• CASARIN, R., et al., 2005. Relative benchmark rating and persistence analysis: Evidence from Italian equity funds. The European Journal of Finance. [Cited by 3] (1.35/year)
• CASCON, A., C. KEATING and W. F. SHADWICK, The Omega Function, 2003.
• CESARI, R. and D. CREMONINI, 2003. Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic …. Journal of Economic Dynamics and Control. [Cited by 14] (3.31/year)
• CHAPADOS, N. and Y. BENGIO, 2007. Noisy K Best-Paths for Approximate Dynamic Programming with Application to Portfolio Optimization. Journal of Computers. [not cited] (0/year)
• CHEN, Peng, Barry FELDMAN and Chandra GODA, Portfolios with Hedge Funds and Other Alternative Investments
• CHEN, Zhiwu and Peter J. KNEZ, 1996. Portfolio Performance Measurement: Theory and Applications, Review of Financial Studies,9, 511–555.
• CHRISTIE, S., Selecting an Asset Allocation in the Presence of Sampling Error. papers.ssrn.com. [not cited] (?/year)
• COGNEAU, Philippe and Georges HÜBNER, 2009. The 101 Ways to Measure Portfolio Performance.
• CONVERGENT, U.A. and D.S. APPROACH, Final Approval Copy. ssaris.com. [not cited] (?/year)
• CROWNOVER, C., 2006. Dynamic capital allocation: exploiting persistent patterns in currency performance. Quantitative Finance. [Cited by 1] (0.82/year)
• DAHLQUIST, Magnus and Paul SÖDERLIND, Evaluating Portfolio Performance with Stochastic Discount Factors, Journal of Business, 72, pp. 347–383, 1999.
• DOWD, Kevin, 2000. Adjusting for risk: An improved Sharpe ratio, International Review of Economics & Finance, 9(3), Pages 209–222.
• DZIKEVICIUS, Audrius, 2004. A Comparative Analysis of Some Risk Adjustment Rules.
• E, B.I.I., COPYRIGHTED MATERIAL. media.wiley.com. [not cited] (?/year)
• ECONOMIST, C. and C.M. CONSULTANTS, Fund Expenses and Performance: What are you paying for?. economics.cmarkc.com. [not cited] (?/year)
• ECONOMIST, C. and C.M. CONSULTANTS, Mean-Semi-Variance Efficient Frontier By Dr. Brian J. Jacobsen Assistant Professor Business …. cmarkc.com. [not cited] (?/year)
• EFTEKHARI, B., 2000. On the volatility of measures of financial risk: an investigation using returns from European …. The European Journal of Finance. [Cited by 5] (0.69/year)
• ELING, M. and F. SCHUHMACHER, Performance Measurement of Hedge Fund Indices?Does the Measure Matter?. Springer. [not cited] (?/year)
• ELING, M. and F. SCHUHMACHER, 2006. Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds. Journal of Banking & Finance. [Cited by 2] (1.63/year)
• ESTRADA, J., 2006. Downside Risk in Practice. Journal of Applied Corporate Finance. [Cited by 2] (1.63/year)
• FAMY, G., 2007. Managing market risk with conditioning information. Journal of Asset Management. [not cited] (0/year)
• FARINELLI, Simone and Luisa TIBILETTI, Sharpe Thinking with Asymmetrical Preferences.
• FARINELLI, Simone and Luisa TIBILETTI, Sharpe Thinking in asset ranking with a benchmark.
• FAVRE-BULLE, Alexandre and Sébastien PACHE, 2003. The Omega Measure: Hedge Fund Portfolio Optimization.
• FIELD, D.C., dc: contributor. author Nathalie Farah en_GB. dspace.cam.ac.uk. [not cited] (?/year)
• FISHBURN, Peter C., 1977. Mean-Risk Analysis with Risk Associated with Below-Target Returns, The American Economic Review, 67(2), 116–126.
• FRAN?OIS-SERGE, L., The french leading professional bookseller. lavoisier.fr. [not cited] (?/year)
• FRAN?OIS-SERGE, L., 2004. Hedge Funds, Quantitative Insights. [Cited by 2] (0.62/year)
• FREY, Robert J. On the Ω-Ratio.
• FUNDS, O.F.H., Martin Eling Frank Schuhmacher. alexandria.unisg.ch. [not cited] (?/year)
• FUNG, William and David A. HSIEH, Is mean-variance analysis applicable to hedge funds?
• FUNG, William and David A. HSIEH, Benchmarks of Hedge Fund Performance: Information Content and Measurement Biases
• FUSION, M., News and Views. creeseransley.com.au. [not cited] (?/year)
• GALLO, J.G., L.J. LOCKWOOD and M. RODRIGUEZ, 2006. Differentiating CREF Performance. Real Estate Economics. [not cited] (0/year)
• GAMBERA, Michele, On Simple Indicators of Investment Performance (Digest Summary), Journal of Performance Measurement, 8(3), 8–15. [not cited] (?/year)
• GOETZMANN, W., et al., 2007. Portfolio Performance Manipulation and Manipulation-Proof Performance Measures. Review of Financial Studies. [Cited by 1] (2.76/year)
• GOETZMANN, W., INGERSOLL J., SPIEGEL, M. and I. WELCH, Sharpening Sharpe Ratios, National Bureau of Economic Research Working Paper No. W9116, 2002
• GRAHAM, K., 2003. Alternative Investments from A to Z. Financial Engineering News. [not cited] (0/year)
• GREENBERG, N.R., Risk as measured by the Greenberg-Silverstein Risk Assessment. agilefunds.com. [not cited] (?/year)
• GULKO, Les, Performance metrics for hedge funds
• HARDING, D., A Critique of the Sharpe Ratio. wintoncapital.com. [not cited] (?/year)
• HARDING, D., G. NAKOU and M. BEDDALL, Efficient Diversification: Managed Futures in Portfolios of Hedge Funds. wintoncapital.com. [not cited] (?/year)
• HARDING, David, A Critique of the Sharpe Ratio.
• HARDING, David, Sorting the Sheep from the Goats: Determination of Good from Bad Investments Using Quantitative Measures
• HAUGH, M.B., 2001. Asset allocation and derivatives. Quantitative Finance. [Cited by 19] (3.05/year)
• HOROWITZ, Ira, 1966. The "Reward-to-Variability" Ratio and Mutual Fund Performance, The Journal of Business, 39(4), 485–488.
• Hedge Fund Center (Trevor and Bud Bundy), The Sharpe Ratio: A discussion
• Hedge Fund Center, A Conversation about the Sortino Ratio
• INVESTMENTS, S.K., Old and New Perspectives on Equity Risk. CFA Institute. [not cited] (?/year)
• JENSEN, Michael C., 1968. The performance of mutual funds in the period 1945-1964. Journal of Finance, 23(2), 389–416.
• JENSEN, Michael C., 1969. Risk, the pricing of capital assets, and the evaluation of investment portfolios. The Journal of Business, 42(2), 167–247.
• JENSEN, Michael C., The Performance Of Mutual Funds In The Period 1945-1964.
• JONES, Meredith, Performance measurement.
• KAPLAN, Paul D. and James A. KNOWLES, 2004. Kappa: A Generalized Downside Risk-Adjusted Performance Measure. The Journal of Performance Measurement. [Cited by 4] (1.24/year)
• KAZEMI, Hossein, Thomas SCHNEEWEIS and Raj GUPTA, 2003. Omega as a performance measure.
• KEATING, Con and William F. SHADWICK, 2002. An Introduction to Omega.
• KEATING, Con and William F. SHADWICK, 2002. A Universal Performance Measure.
• KOH, F., D.K.C. LEE and P.K. FAI, 2002. Markets and industry- an evaluation of hedge funds: Risk, return and pitfalls. Singapore Economic Review. [Cited by 2] (0.38/year)
• KROLL, Yoram, Haim LEVY and Harry M. MARKOWITZ, 1984. Mean-Variance Versus Direct Utility Maximization, The Journal of Finance, 39(1), 47–61.
• KRYSTALOGIANNI, A. and S. TSOLACOS, 2004. Regime switching in yield structures and real estate investment. Journal of Property Research. [not cited] (0/year)
• KUAN, Bernardo B., Research on the Excess Omega Return, December 1998.
• LAGOARDE-SEGOT, T. and B.M. LUCEY, Portfolio allocations in the Middle East and North Africa. univ-cefi.fr. [not cited] (?/year)
• LEE, C.L., J. ROBINSON and R. REED, 2006. An Exploration of the Relationship between Size and Risk in a Downside Risk Framework Applied to …. [Cited by 1] (0.82/year)
• LEGGIO, B. and D. LIEN, 2000. Is Covered Call Investing Wise? Evaluating the Strategy Using Risk-Adjusted Performance Measures. Retrieved January. [Cited by 1] (0.14/year)
• LELAND, H., 1999. Beyond Mean-Variance: Risk and Performance Measurement in a Nonsymmetrical World. Financial Analysts Journal. [Cited by 12] (1.46/year)
• LELAND, H.E., 1997. BEYOND MEAN-VARIANCE: RISK AND PERFORMANCE MEASURES FOR PORTFOLIOS WITH NONSYMMETRIC RETURN …. Univ. California, Berkeley. [Cited by 3] (0.29/year)
• LELAND, Hayne E., Beyond Mean-Variance: Risk and Performance Measures for Portfolios with Nonsymmetric Return Distributions.
• LEVY, H. and H. M. MARKOWITZ, 1979. Approximating Expected Utility by a Function of Mean and Variance, The American Economic Review, 69(3), 308–317.
• LEVY, Halm, 1974. The Rationale of the Mean-Standard Deviation Analysis: Comment, The American Economic Review, 64(3), 434–441.
• LIEN, D., 2002. Relationships Between Some Risk-Adjusted Performance Measures. Journal of Futures Markets. [Cited by 2] (0.38/year)
• LIPINSKI, P. and J.J. KORCZAK, 2004. Performance Measures in an Evolutionary Stock Trading Expert System. LECTURE NOTES IN COMPUTER SCIENCE. [Cited by 1] (0.31/year)
• LOGIN, A., et al., 2004. An alternative route to performance hypothesis testing. Journal of Asset Management. [not cited] (0/year)
• LOGIN, A., et al., 2006. Performance measurement with loss aversion. Journal of Asset Management. [not cited] (0/year)
• LOGIN, A., et al., 2007. Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and …. Journal of Asset Management. [not cited] (0/year)
• MACIULIS, N., V. LAZAUSKAITE and E. BENGTSSON, 2007. Evaluating performance of Nordic and Baltic stock exchanges. Baltic Journal of Management. [not cited] (0/year)
• MAGIERA, Frank T., Greek Alphabet Soup and Risk-Adjusted Performance (Digest Summary), Journal of Performance Measurement. [not cited] (?/year)
• MARKOWITZ, Harry, 1952. Portfolio Selection.
• MAURER, R. and F. REINER, 2001. International Asset Allocation with Real Estate Securities in a Shortfall Risk Framework: The …. cbeweb-1.fullerton.edu. [Cited by 9] (1.45/year)
• MAURER, R. and S. VALIANI, Forwards versus Options for Hedging the Currency Exposure Risk: An Application to International …. wiwi.uni-frankfurt.de. [not cited] (?/year)
• MAURER, R. and S. VALIANI, 2003. Hedging the Exchange Rate Risk in International Portfolio Diversification: Currency Forwards Versus …. encuentrofinanzas.cl. [not cited] (0/year)
• MCLEOD, W. and B. VAN, 2004. Interpreting the Sharpe ratio when excess returns are negative. Investment Analysts Journal. [Cited by 3] (0.93/year)
• MEADE, N. and J.E. BEASLEY, 2004. An evaluation of passive strategies to beat the index. The Tanaka Business School, London. [Cited by 1] (0.31/year)
• MEASUREMENTS, R. and L. RETURNS, Beta (vs S&P 500). Performance. [Cited by 3] (?/year)
• MEASURES, Q., Winton Research Paper. trendfollowing.com. [not cited] (?/year)
• MEASURES, R., Performance Measurement on Fixed-Income Portfolios. www-rcf.usc.edu. [not cited] (?/year)
• MEWASINGH, V., 2006. DOWNSIDE-RISK PERFORMANCE MEASURES AND HEDGE FUNDS. [not cited] (0/year)
• MOMENTS, H., Alternative Performance Measures for Hedge Funds. edge-fund.com. [not cited] (?/year)
• MORONE, Andrea, 2004. Comparison of Mean-Variance theory and Expected-Utility theory through a Laboratory Experiment
• MRICS, W.G.K.M.S., An impulse for a more “modern” way of portfolio analysis, benchmarking real estate investments on …. academics.ewi.tudelft.nl. [not cited] (?/year)
• NAWROCKI, David, 1999. The Case for the Relevancy of Downside Risk Measures.
• NETTELBECK, T. and M. LALLY, 2004. Implementation of a Performance Attribution System in a Funds Management Company. [not cited] (0/year)
• NIELSEN, Lars Tyge and Maria VASSALOU, Performance Measures for Dynamic Portfolio Management, December 1998.
• OLSZEWSKI, Y. and M.F.A. INVESTMENTS, Draft# 4 (August 2005, typo corrected on pg. 5). econwpa.wustl.edu. [not cited] (?/year)
• OLSZEWSKI, Y., 2005. Building a Better Fund of Hedge Funds: A Fractal and Alpha-Stable Distribution Approach. [not cited] (0/year)
• OPTIMISATION, M.P., S.R. OPTIMISATION and S. RATIO, The challenge of asymmetric returns. actuaries.org.uk. [not cited] (?/year)
• PADGETTE, R.L., PERFORMANCE REPORTING: BASICS AND BEYOND, PART II. fpanet.org. [not cited] (?/year)
• PARK, S.H. and L. STREET, Trend Following: Performance, Risk and Correlation. barclaygrp.com. [not cited] (?/year)
• PASSOW, A., Omega Portfolio Construction with Johnson. fame.ch. [not cited] (?/year)
• PEDERSEN, C.S. and S.E. SATCHELL, 2002. On the foundation of performance measures under asymmetric returns. Quantitative Finance. [Cited by 10] (1.91/year)
• PEDERSEN, C.S. and T. RUDHOLM-ALFVIN, 2003. Selecting a Risk-Adjusted Shareholder Performance Measure. Journal of Asset Management. [Cited by 5] (1.18/year)
• PEDERSEN, Christian S. and Stephen E. SATCHELL, On The Foundation of Performance Measures under Asymmetric Returns.
• PEDERSEN, Christian S. and Stephen E. SATCHELL, On the foundation of performance measures under asymmetric returns, Quantitative Finance 2 (June 2002) 217–223.
• PEDERSEN, Christian S. and Ted RUDHOLM-ALFVIN, Selecting a Risk-Adjusted Shareholder Performance Measure.
• PERELLÓ, Josep, Downside Risk Metrics applied to Hedge Funds: An overview and some extensions.
• PERELLO, J., Downside Risk Metrics applied to Hedge Funds: An overview and some extensions. edge-fund.com. [not cited] (?/year)
• PERELLO, J., 2006. Downside Risk analysis applied to Hedge Funds universe. Arxiv preprint physics/0610162. [not cited] (0/year)
• PERIOD, A.H., et al., Programme S: Global Quantitative. invesdex.com. [not cited] (?/year)
• PHILIPS, C.B., 2005. Understanding Alternative Investments: A Primer on Hedge Fund Evaluation. [Cited by 1] (0.45/year)
• PLANTINGA, A. and J.S. DE, 2002. Risk-Adjusted Performance Measures and Implied Risk Attitudes (Digest Summary). CFA Digest. [not cited] (0/year)
• PLANTINGA, A. and S. DE, 2001. Risk-adjusted performance measures and implied risk-attitudes. papers.ssrn.com. [Cited by 3] (0.48/year)
• POPOVA, I., D. MORTON and E. POPOVA, 2003. OPTIMAL HEDGE FUND ALLOCATION WITH ASYMMETRIC PREFERENCES AND DISTRIBUTIONS. [Cited by 3] (0.71/year)
• PULLEY, Lawrence B., 1983. Mean-Variance Approximations to Expected Logarithmic Utility, Operations Research. 31(4), 685–696.
• RANALDO, Angelo and Laurent FAVRE, How to Price Hedge Funds: From Two- to Four-Moment CAPM, 2003.
• RETURN, T.W., Actuarial Investments Additional Reading on Performance Measurement Overview of Return, Risk, & Risk …. ucd.ie. [not cited] (?/year)
• RISK, L., Putting Risk Measurement in Context. CFA Institute. [not cited] (?/year)
• ROM, B.M. and K.W. FERGUSON, 1994. Post-Modern Portfolio Theory Comes of Age. The Journal of Investing. [Cited by 13] (0.98/year)
• ROSENBERG, M., J.F. TOMEO and S.Y. CHUNG, Hedge Fund-of-Funds Asset Allocation Using a Convergent and Divergent Strategy Approach. ssgallc.com. [not cited] (?/year)
• SALOMONS, R. and H. GROOTVELD, 2003. The equity risk premium: emerging vs. developed markets. Emerging Markets Review. [Cited by 10] (2.37/year)
• SATCHELL, S.S., 2001. Managing Downside Risk in Financial Markets. books.google.com. [Cited by 1] (0.16/year)
• SCHERER, B., 2004. An alternative route to performance hypothesis testing, Journal of Asset Management, 5(1), 5–12.
• SCHERER, B., 2004. An alternative route to performance hypothesis testing. Journal of Asset Management. [Cited by 1] (0.31/year)
• SEMINAR, D. and K. SPREMANN, The Evaluation of Hedge Funds. sbf.unisg.ch. [not cited] (?/year)
• SEYKOTA, Ed, (Lake Ratio), 2003.
• SHADWICK, W.F., The Sortino Ratio and Darsinos and Satchell's ‘Generalised Sharpe Ratios' Fail the Lottery Test. edge-fund.com. [not cited] (?/year)
• SHADWICK, William F., and Con KEATING, 2002. A universal performance measure, The Journal of Performance Measurement, 6(3).
• SHADWICK, William, et al., 2002. Omega: A New Tool for Financial Analysis, 2002.
• SHARPE, S. and S. TOBIN, 4.1 Sharpe Ratio. Springer. [not cited] (?/year)
• SHARPE, W. F., 1968. [Mutual Fund Performance and the Theory of Capital Asset Pricing]: Reply, The Journal of Business, 41(2), 235–236.
• SHARPE, William F., 1964. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425–442
• SHARPE, William F., 1966. Mutual fund performance. The Journal of Business, 39(1), 119–138.
• SHARPE, William F., 1975. Adjusting for Risk in Portfolio Performance Measurement. Journal of Portfolio Management, 29–34.
• SHARPE, William F., 1992. Asset Allocation: Management Style and Performance Measurement. Journal of Portfolio Management, 7–19.
• SHARPE, William F., 1994. The Sharpe ratio, The Journal Of Portfolio Management, 21(1), 49–58.
• SORTINO, F., M. KORDONSKY and H. FORSEY, Evidence-Based Portfolio Management. evidence-basedmanagement.com. [not cited] (?/year)
• SORTINO, Frank A. and Bernardo KUAN, The Upside Potential Strategy: A Paradigm Shift in Performance Measurement, Senior Consultant, 6(12).
• SORTINO, Frank A. and Bernardo KUAN, The U-P Strategy: A Paradigm Shift in Performance Measurement, Pension Research Institute, 1998.
• SORTINO, Frank A., 1998. Sortino Ratio.
• SORTINO, Frank A., and Hal J. FORSEY, On the Use and Misuse of Downside Risk, Journal of Portfolio Management, 1996.
• SORTINO, Frank A., and Robert van der MEER, 1991. Downside Risk. The Journal of Portfolio Management, 17(4), 27–31. [Cited by 83] (?/year)
• SORTINO, Frank A., et al., The Upside Potential Ratio: What Are We Trying to Measure?
• SORTINO, Frank, Gary MILLER, and Joeseph MESSINA, Short Term Risk-adjusted Performance: a Style Based Analysis, 1997.
• SUBRAMANIAN, H., et al., 2006. Designing safe, profitable automated stock trading agents using evolutionary algorithms. Proceedings of the 8th annual conference on Genetic and …. [not cited] (0/year)
• SUSINNO, G., Shortcomings in Advise versus the Art and Science of Investing in Hedge Funds. hedgefundprofiler.com. [not cited] (?/year)
• TILL, Hilary and David LEE, Risk and Performance Measurement For Alternative Investment.
• TOP, C., DP5173 Performance Measurement with Loss Aversion. cepr.org. [not cited] (?/year)
• TREYNOR, Jack L., 1965. How to rate management of investment funds. Harvard Business Review, 43(1), 63–75.
• TSIANG, S. C., 1972. The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money, The American Economic Review, 62(3), 354–371.
• TSIANG, S. C., 1974. The Rationale of the Mean-Standard Deviation Analysis: Reply and Errata for Original Article, The American Economic Review, 64(3), 442–450.
• TVERSKY, Amos, and Daniel KAHNEMAN, 1992. Advances in prospect theory: Cumulative representation of uncertainty, Journal of Risk and Uncertainty, 5(4), 297–323.
• TZU-WEI, K.U.O. and C. MATEUS, The Performance and Persistence of Exchange-Traded Funds: Evidence for iShares MSCI country-specific …. fma.org. [not cited] (?/year)
• Trade Center, Trade Center: Commodity Brokers Futures Brokers : Trading Systems
• VALIANI, S., An Analysis of Currency Risk Controlling Using Different FX Derivatives. wiwi.uni-frankfurt.de. [not cited] (?/year)
• WEISMAN, Andrew, 2002. Informationless Investing and Hedge Fund Performance Measurement Bias, The Journal of Portfolio Management 28,80–91.
• WEST, Richard R., 1968. Mutual Fund Performance and the Theory of Capital Asset Pricing: Some Comments, The Journal of Business, 41(2), 230–234.
• WILKENS, K. and J. ZHU, 2001. Portfolio Evaluation and Benchmark Selection: A Mathematical Programming Approach. The Journal of Alternative Investments. [Cited by 4] (0.64/year)
• WWZ, W.Z., Performance Analysis of Hedge Fonds. wwz.unibas.ch. [not cited] (?/year)
• Winton Capital Management, 2003. Assessing CTA Quality with the Omega Performance Measure.
• Winton Capital Management, 2003. Case Studies of CTA Assessment Using the Omega Performance Measure.
• ZEALAND, A.N.E.W., An Exploration of the Relationship between Size and Risk in a Downside Risk Framework Applied to …. prres.net. [not cited] (?/year)
• ZOU, Liang, Inherent Reward and Risk (Part I): Towards a Universal Paradigm for Investment Analysis.

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