On maximization of the expectation-to-deviation ratio of a random variable

DOI10.1070/RM9787zbMath1412.60010OpenAlexW2757092955MaRDI QIDQ4603050

Mikhail Zhitlukhin

Publication date: 14 February 2018

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm9787

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Foundations of probability theory (60A99)

Related Items (2)

Monotone Sharpe ratios and related measures of investment performance ⋮ Higher-moment buffered probability

Cites Work

• Buffered Probability of Exceedance: Mathematical Properties and Optimization

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