Sharpe thinking in asset ranking with one-sided measures

DOI10.1016/J.EJOR.2006.08.020MaRDI QIDQ2464236zbMATH OpenOpenAlexFDO

Authors Simone Farinelli, Luisa Tibiletti

Publication date 10 December 2007

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2006.08.020

zbMATH Keywords

one-sided risk measuresrisk managementSharpe index

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Safety First and the Holding of Assets

Cited in

(24)

• Sharper asset ranking from total drawdown durations
• Robust optimization of mixed CVaR STARR ratio using copulas
• A nonparametric quantity-of-quality approach to assessing financial asset return performance
• Optimal strategies under omega ratio
• The dynamic Black-Litterman approach to asset allocation
• Portfolio selection in a data-rich environment
• Risk-reward ratio optimisation (revisited)
• Robust reward–risk ratio optimization with application in allocation of generation asset
• Sufficient conditions under which SSD- and MR-efficient sets are identical
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• On the role of skewness, kurtosis, and the location and scale condition in a Sharpe ratio performance evaluation setting
• Ranking of investment funds: acceptability versus robustness
• The Generalized Treynor Ratio
• Portfolio allocation using omega function: an empirical analysis
• On the foundation of performance measures under asymmetric returns
• Effects of skewness and kurtosis on portfolio rankings
• Performance ratio-based coherent risk measure and its application
• Technical Note—Ranking Distributions When Only Means and Variances Are Known
• Upside beta ratio: a performance measure for potential-seeking investors
• A new financial risk ratio
• Stock performance by utility indifference pricing and the Sharpe ratio
• When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio -- a comment
• Evaluation of strategy portfolios
• Concentrated portfolio selection models based on historical data

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