Portfolio optimization with performance ratios

DOI10.1142/S0219024919500225MaRDI QIDQ5234010zbMATH OpenOpenAlexWikidataFDO

Authors Hongcan Lin, David Saunders, Chengguo Weng

Publication date 9 September 2019

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024919500225

zbMATH Keywords

martingale methodperformance ratioportfolio optimizationstochastic control

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time stochastic control and optimization with financial applications
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• On Nonlinear Fractional Programming
• Optimal investment strategies for participating contracts
• Optimal strategies under omega ratio
• Optimizing Omega
• Portfolio Optimization and Performance Analysis
• PROFIT SHARING IN HEDGE FUNDS

Cited in

(15)

• Mean-expectile portfolio selection
• Optimal management of DC pension fund under the relative performance ratio and VaR constraint
• Optimal portfolio with power utility of absolute and relative wealth
• Optimal portfolio choice and consistent performance
• Continuous-time portfolio optimization for absolute return funds
• The best gain-loss ratio is a poor performance measure
• On portfolio choice by maximizing the outperformance probability
• Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
• scientific article; zbMATH DE number 1304943 (Why is no real title available?)
• On the foundation of performance measures under asymmetric returns
• Optimal portfolio selection problem under relative return concerns
• Portfolio performance evaluation with loss aversion
• scientific article; zbMATH DE number 5172407 (Why is no real title available?)
• Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
• Optimal VPPI strategy under omega ratio with stochastic benchmark

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