Reward-to-Variability Ratio as a Key Performance Indicator in Financial Manager Efficiency Assessment | Научно-инновационный портал СФУ

Reward-to-Variability Ratio as a Key Performance Indicator in Financial Manager Efficiency Assessment

Тип публикации: доклад, тезисы доклада, статья из сборника материалов конференций

Конференция: 9th Computer Science On-line Conference, CSOC 2020

Год издания: 2020

Идентификатор DOI: 10.1007/978-3-030-51971-1_49

Ключевые слова: key performance indicator, portfolio performance, reward-to-variability ratio, reward-to-volatility ratio, sharpe coefficient, value at risk

Аннотация: In this paper computational techniques to process financial data and to assess management efficiency are proposed. Personnel evaluation process is formalized on the basis of the proposed key performance indicators based on portfolio efficiency criteria. Personnel efficiency is assessed via the excessive portfolio return over average market performance indicators per unit of risk. Alternative measures to evaluate risk are formulated. The proposed downside risk measures are implemented into portfolio performance evaluation criteria. Comparative analysis of the introduced portfolio performance evaluation criteria is held. Case study via the Trading Organiser ‘Moscow Exchange’ is performed. The experimental results prove that the introduced portfolio performance evaluation criteria yield better results than the coefficients which do not take into account downside risk measures. It is concluded that the proposed modified ‘reward-to-variability’ ratio can be incorporated into the system of key performance indicators for assessing financial management efficiency. #CSOC1120. © 2020, Springer Nature Switzerland AG.

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Издание

Журнал: Advances in Intelligent Systems and Computing

Выпуск журнала: Vol. 1225 AISC

Номера страниц: 598-613

ISSN журнала: 21945357

Издатель: Springer

Авторы

  • Malakhova A.A. (Siberian Federal University, Krasnoyarsk, Russian Federation)
  • Starova O.V. (Siberian Federal University, Krasnoyarsk, Russian Federation)
  • Yarkova S.A. (Krasnoyarsk Institute of Railway Transport - Branch of the Irkutsk State Transport University, Krasnoyarsk, Russian Federation)
  • Danilova A.S. (Krasnoyarsk Institute of Railway Transport - Branch of the Irkutsk State Transport University, Krasnoyarsk, Russian Federation)
  • Zdanovich M.Y. (Siberian Federal University, Krasnoyarsk, Russian Federation, Krasnoyarsk Institute of Railway Transport - Branch of the Irkutsk State Transport University, Krasnoyarsk, Russian Federation)
  • Kravtsov D.I. (Siberian Federal University, Krasnoyarsk, Russian Federation)
  • Zyablikov D.V. (Siberian Federal University, Krasnoyarsk, Russian Federation)

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