A new financial risk ratio

DOI10.1080/00949655.2014.918131zbMATH Open1457.62332OpenAlexW2064604817MaRDI QIDQ5220902FDOQ5220902

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

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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)

Cites Work

• Modeling and Forecasting Realized Volatility
• Antieigenvalue analysis. With applications to numerical analysis, wavelets, statistics, quantum mechanics, finance and optimization
• Exposition of a New Theory on the Measurement of Risk
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Products of trees for investment analysis
• Title not available (Why is that?)
• Operator trigonometry of multivariate finance
• The Crossing of Heaven

Cited In (1)

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

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