Monotone Sharpe ratios and related measures of investment performance
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Publication:2001262
DOI10.1007/978-3-030-04161-8_52zbMATH Open1417.91489arXiv1809.10193OpenAlexW2892686549MaRDI QIDQ2001262FDOQ2001262
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
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Cited In (4)
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