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The evaluation of investments offering non-normal return profiles
like option portfolios or alternative investments is a challenging
task since traditional measures like the mean-variance ones often
produce inconsistent results or can be subject to manipulation.
This thesis investigates the role of skewness and kurtosis in
evaluating conventional and alternative investments. From the
background that investors trade not only mean and variance but also
higher moments, the author proposes a higher moment-based
distributional risk measure, termed as the variance-equivalent risk
measure, and develops a series of moment-based performance
measures. Comparing these measures with conventional measures like
the Sharpe Ratio, empirical testing shows that for investments with
high non-normality of returns, the higher moment-based performance
measures offer a significant enhancement in the performance
evaluation.
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