Enhanced indexing using weighted conditional value at risk

DOI10.1007/s10479-019-03132-2zbMath1430.91091OpenAlexW2911107867MaRDI QIDQ2288879

Aparna Mehra, Ruchika Sehgal

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03132-2

zbMATH Keywords

Sharpe ratioconditional value at riskGini mean differenceenhanced indexingupside potential ratioweighted conditional value at risk

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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