Monotone Sharpe ratios and related measures of investment performance

DOI10.1007/978-3-030-04161-8_52zbMath1417.91489arXiv1809.10193OpenAlexW2892686549MaRDI QIDQ2001262

Mikhail Zhitlukhin

Publication date: 2 July 2019

Full work available at URL: https://arxiv.org/abs/1809.10193

zbMATH Keywords

coherent risk measuresinvestment strategiesmonotone Sharpe ratios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Minimizing buffered probability of exceedance by progressive hedging ⋮ Stock performance by utility indifference pricing and the Sharpe ratio

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