A New Approach to Investment Performance Measurement
Thaleia Zariphopoulou
Department of Mathematics
University of Texas at Austin
A new method for measuring the performance of investment policies will be introduced. Optimality of investment strategies will be associated with a stochastic partial differential equation (spde). The novel concept of performance volatility, as the driver to this spde, will be presented. Examples of performance volatility processes modeling different numeraires, benchmarks and market views, will be presented.