Benchmark-based evaluation of portfolio performance: a characterization
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Publication:2397788
DOI10.1007/S10436-016-0286-4zbMATH Open1398.91497OpenAlexW2553738733MaRDI QIDQ2397788FDOQ2397788
Authors: Mikhail V. Sokolov, Alexander G. Alexeev 
Publication date: 23 May 2017
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-016-0286-4
Recommendations
benchmarkingindex number theoryportfolio performancecompound annual growth rateportfolio choice under uncertainty
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Cited In (10)
- Across-time risk-aware strategies for outperforming a benchmark
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- An efficient method of evaluating portfolio risk and return
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
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- Portfolio performance sensitivity for various asset-pricing kernels
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
- Portfolio performance benchmarking with data envelopment analysis
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