On maximization of the expectation-to-deviation ratio of a random variable

DOI10.1070/RM9787MaRDI QIDQ4603050zbMATH OpenOpenAlexFDO

Authors M. V. Zhitlukhin

Publication date 14 February 2018

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm9787

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Foundations of probability theory (60A99)

Cites work

• Buffered Probability of Exceedance: Mathematical Properties and Optimization

Cited in

(2)

• Higher-moment buffered probability
• Monotone Sharpe ratios and related measures of investment performance

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