QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION

DOI10.1017/S0269964813000090zbMath1277.60028OpenAlexW2131295530MaRDI QIDQ5891125

Rui Fang, Xiaohu Li

Publication date: 28 August 2013

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964813000090

zbMATH Keywords

survival analysisactuarial sciencebivariate dual generalized Marshall-Olkin distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Reliability, availability, maintenance, inspection in operations research (90B25)

Related Items (2)

General Marshall–Olkin Models, Dependence Orders, and Comparisons of Environmental Processes ⋮ Extended Marshall–Olkin Model and Its Dual Version

Cites Work

• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Strategic asset allocation
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Dynamic Asset Allocation in a Mean-Variance Framework
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Intertemporal Asset Pricing under Knightian Uncertainty
• Learning Under Ambiguity
• Mean‐Variance Portfolio Selection under Partial Information

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