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中文摘要：
研究发现在位置-尺度分布族中,只要RR比率中的风险测度与报酬测度满足正齐次性与平移不变性,根据RR比率进行的投资业绩排名与用Sharpe比率的排名是一致的。由于文中的RR比率中的风险测度与报酬测度均满足正齐次性与平移不变性,故在位置-尺度分布族中使用Sharpe比率作为业绩评价指标是一种不错的选择。
英文摘要：
This paper demonstrates that in location-scale families,as long as the risk measure and reward measure in RR ratio measure satisfy positive homogeneity and translation invariance,the investment performance rankings by RR ratio are consistent with the rankings by Sharpe ratio. The results showthe risk measure and the reward measure of RR ratio meet positive homogeneity and translation invariance,so Sharpe ratio as a performance evaluation index is regarded as a good choice in location-scale families.
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