Analysing assets’ performance inside a portfolio: From crossed beta to the net risk premium ratio
dc.contributor.author
dc.date.accessioned
2017-10-25T08:30:14Z
dc.date.available
2017-10-25T08:30:14Z
dc.date.issued
2017-01-02
dc.identifier.uri
dc.description.abstract
This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators. Intuition suggests that the higher the weight of an asset, the higher should be its expected performance. These weights, and the information that we can obtain from their analysis, are not only relevant for investors but also for corporate managers. Nevertheless, the available performance indicators are not linked to portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies holding an asset in long position? How can we analyse if the performance of an asset justifies the budget’s weight invested in it? And, how can we apply ex-post optimisation to performance analysis? Methodologically, we centre the analysis on the definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the Mean-Variance and Mean-Gini models. The empirical illustration, based on DJIA assets, that completes the paper shows how the analysis of portfolio weights provides relevant information about the performance of assets
dc.format.mimetype
application/pdf
dc.language.iso
eng
dc.publisher
Cogent OA
dc.relation.isformatof
Reproducció digital del document publicat a: http://dx.doi.org/10.1080/23322039.2016.1270251
dc.relation.ispartof
Cogent Economics and Finance, 2017, vol. 5, núm. 1, p.1-23
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Articles publicats (D-EC)
dc.rights
Attribution 3.0 Spain
dc.rights.uri
dc.subject
dc.title
Analysing assets’ performance inside a portfolio: From crossed beta to the net risk premium ratio
dc.type
info:eu-repo/semantics/article
dc.rights.accessRights
info:eu-repo/semantics/openAccess
dc.embargo.terms
Cap
dc.type.version
info:eu-repo/semantics/publishedVersion
dc.identifier.doi
dc.identifier.idgrec
026586
dc.identifier.eissn
2332-2039