A new financial risk ratio

DOI10.1080/00949655.2014.918131MaRDI QIDQ5220902zbMATH OpenOpenAlexFDO

Authors Karl Gustafson

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2014.918131

zbMATH Keywords

Sharpe ratiogeometric meanoptimal growthfinancial marketsefficient portfoliosantieigenvalue analysisinvestment utility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1370877 (Why is no real title available?)
• Antieigenvalue analysis. With applications to numerical analysis, wavelets, statistics, quantum mechanics, finance and optimization
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Exposition of a New Theory on the Measurement of Risk
• Modeling and Forecasting Realized Volatility
• Operator trigonometry of multivariate finance
• Products of trees for investment analysis
• The Crossing of Heaven

Cited in

(1)

• Antieigenvalue analysis for continuum mechanics, economics, and number theory

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