ss Sectional Analysis of Mutual Fund's Market Timing and Security Selection Skill," Journal of Business Finance and Accounting 19(5), pp. 659-674. Dybvig, •., and J.E. Ingersoll, (1982) "Mean-Variance Theory in Complete Markets," Journal of Business 52(2), pp. 233-251. Elton, E.J., M. Gruber and C.R

or if the risk is lowered while keeping the same level of return. Unfortunately the SR also suffers some caveats. Hendriksson and Merton (1981) and Dybvig and Ingersoll (1982) for example show that non-linear pay offs limit the applicability of the SR as a performance measure. Goetzmann et aL(2002) st

ne else. Based on this sim le description, we can sketch the essential characteristics of a run-prone security. Obviously, building on Diamond and Dybvig (1983) here: • The contract promises a fixed value, payable in full on demand or on very short notice. • Failure to pay triggers bankruptcy. Fix