Alpha and Performance Measurement : The Effect of Investor Heterogeneity by :

  title={Alpha and Performance Measurement : The Effect of Investor Heterogeneity by :},
  author={Wayne E. Ferson and Jianfeng Lin},
Studies of investment performance routinely use various measures of alpha, yet the literature has not established that a positive (negative) alpha, as traditionally measured, means that an investor would want to buy (sell) a fund. However, under general conditions, when alpha is defined using the client's marginal utility function, a client faced with a positive alpha would want to buy the fund. Thus, performance measurement is inherently investor specific, and investors will disagree about the… CONTINUE READING


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