Monotone Sharpe ratios and related measures of investment performance

DOI10.1007/978-3-030-04161-8_52zbMATH Open1417.91489arXiv1809.10193OpenAlexW2892686549MaRDI QIDQ2001262FDOQ2001262

M. V. Zhitlukhin

Publication date: 2 July 2019

Abstract: We introduce a new measure of performance of investment strategies, the monotone Sharpe ratio. We study its properties, establish a connection with coherent risk measures, and obtain an efficient representation for using in applications.

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)

Cites Work

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Cited In (4)

• Star-shaped acceptability indexes
• A robust Sharpe ratio
• Stock performance by utility indifference pricing and the Sharpe ratio
• Minimizing buffered probability of exceedance by progressive hedging

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