An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel's monkey

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We propose an implementable portfolio performance evaluation procedure that compares a portfolio with respect to the portfolios constructed by an infinite number of Malkiel's blindfolded monkeys, or equivalently the whole enumeration of all possible portfolios. We argue that this approach exhibits two main advantages. First, it does not require any benchmark portfolios because a portfolio is being compared to an infinite number of portfolios. Second, it is market condition invariant. Since the market conditions are already reflected in the portfolio performances of an infinite blindfolded monkeys, our measure of portfolio performances is invariant to volatile market conditions.
Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Issue Date
2018-07
Language
English
Article Type
Article
Keywords

LUCK

Citation

APPLIED ECONOMICS, v.50, no.40, pp.4318 - 4327

ISSN
0003-6846
DOI
10.1080/00036846.2018.1444263
URI
http://hdl.handle.net/10203/244537
Appears in Collection
IE-Journal Papers(저널논문)
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