A new financial risk ratio

DOI10.1080/00949655.2014.918131zbMath1457.62332OpenAlexW2064604817MaRDI QIDQ5220902

Karl Gustafson

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2014.918131

zbMATH Keywords

geometric meanoptimal growthfinancial marketsSharpe ratioefficient portfoliosantieigenvalue analysisinvestment utility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Antieigenvalue analysis for continuum mechanics, economics, and number theory

Cites Work

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• Operator trigonometry of multivariate finance
• Products of trees for investment analysis
• The Crossing of Heaven
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Modeling and Forecasting Realized Volatility
• Exposition of a New Theory on the Measurement of Risk

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