Since 2014
X-Sigma-Rho and Market Efficiency
Journal of Economic & Financial Studies
View Archive Info| Field | Value | |
| Title |
X-Sigma-Rho and Market Efficiency
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| Creator |
Baigent, G. Glenn
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| Subject |
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Market efficiency; Performance measure; X-sigma rho. G20. |
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| Description |
Menchero and Davis (2011) define X-Sigma-Rho as a risk metric that shows the marginal contribution to risk when a security is added to a portfolio of other securities. While insightful regarding risk, their work is incomplete because it does not consider the marginal contribution to return. This paper completes their analysis by including marginal contribution to return. In equilibrium the result is the capital market line and a measure similar to Jensen’s alpha that can be used to measure performance.
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| Publisher |
LAR Center Press
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| Contributor |
—
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| Date |
2014-04-21
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://journalofeconomics.org/index.php/site/article/view/133
10.18533/jefs.v2i02.133 |
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| Source |
Journal of Economic & Financial Studies; Vol 2, No 02 (2014): April; 41-44
2379-9471 2379-9463 |
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| Language |
eng
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| Relation |
http://journalofeconomics.org/index.php/site/article/view/133/223
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| Rights |
Copyright (c) 2015 Journal of Economic & Financial Studies
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