Benchmark-based evaluation of portfolio performance: a characterization

DOI10.1007/S10436-016-0286-4MaRDI QIDQ2397788zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

benchmarkingindex number theoryportfolio performancecompound annual growth rateportfolio choice under uncertainty

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

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Cited in

(10)

• Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
• Portfolio performance benchmarking with data envelopment analysis
• Across-time risk-aware strategies for outperforming a benchmark
• Portfolio management in the binomial model: conditions for outperforming benchmarks
• 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
• An efficient method of evaluating portfolio risk and return
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
• Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
• Portfolio performance sensitivity for various asset-pricing kernels

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