The Best Gain-Loss Ratio is a Poor Performance Measure

DOI10.1137/120866774zbMath1285.91146arXiv1209.6439OpenAlexW3121468271MaRDI QIDQ2873125

Sara Biagini, Mustafa Çelebi Pinar

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.6439

zbMATH Keywords

martingalesincomplete marketsacceptability indexesduality methodsgain-loss ratiomarket modified risk measuresquasi-concave optimization

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

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