When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

DOI10.1080/14697680903081881zbMath1258.91097OpenAlexW2329486996WikidataQ56504546 ScholiaQ56504546MaRDI QIDQ4911221

Li Chen, Simai He, Shu-Zhong Zhang

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903081881

Mathematics Subject Classification ID

Related Items (8)

Sufficient conditions under which SSD- and MR-efficient sets are identical ⋮ Distributionally robust portfolio optimization with linearized STARR performance measure ⋮ Distributionally robust profit opportunities ⋮ Minimum Rényi entropy portfolios ⋮ COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES ⋮ A parametric Sharpe ratio optimization approach for fuzzy portfolio selection problem ⋮ When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio ‒ a comment ⋮ Extrapolated Proximal Subgradient Algorithms for Nonconvex and Nonsmooth Fractional Programs

Uses Software

• CVX

Cites Work

• Tail dependence for elliptically contoured distributions
• On distributionally robust chance-constrained linear programs
• Prospect Theory: An Analysis of Decision under Risk
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Programming with linear fractional functionals
• Safety First and the Holding of Assets

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