TESIS PARA OPTAR AL GRADO DE MAGISTER EN FINANZAS / The use of the Sharpe ratio for the measurement of the performance of the financial assets is
widely generalized, although there is empirical evidence of serious problems with the assumptions
behind the distribution functions. This paper explores the conditions under which the
Sharpe ratio is efficient to analyze the performance of financial asset portfolios, a situation that
is not true in the presence of strong autocorrelation. We demonstrate the effect that autocorrelation
has in determining the best means of performance measurement, defining a robustness
function of the variance of the Spearman coefficient degradation, allowing to define monitoring
and control criteria in the task of tracking the evolution of financial assets and makes an
adequate selection of a combination of risk and return, expanding the spectrum of analysis for
the performancemeasurement of the financial series, placing an alarmfor the evaluation of the
performance of the financial assets.
| Identifer | oai:union.ndltd.org:UCHILE/oai:repositorio.uchile.cl:2250/147682 |
| Date | 01 1900 |
| Creators | Rubilar Torrealba, Rolando Luis |
| Contributors | Rodríguez Perales, Arturo |
| Publisher | Universidad de Chile |
| Source Sets | Universidad de Chile |
| Language | English |
| Detected Language | English |
| Type | Tesis |
| Rights | Attribution-NonCommercial-NoDerivs 3.0 Chile, http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ |
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