MEASURING THE RISK DIMENSION OF INVESTMENT PERFORMANCE.

This paper is addressed to individuals engaged in research on portfolio management or investments. It has been prepared with two purposes in mind. The first is to describe a number of problems encountered in connection with the recommendation that the degree of risk assumed in a portfolio be measured as an important aspect of the portfolio's investment performance--a recommendation contained in the Bank Administration Institute (B.A.I.) report on pension and profit-sharing fund performance measurement [7]. The second is to identify some possible trends in future research on measuring the risk dimension of investment performance and to comment on the prospects of alternative lines of investigation. It is hoped that this material will contribute to development of the improved risk measurement methods advocated in the Institute's report. [ABSTRACT FROM AUTHOR]