New Measures for Performance Evaluation
By Alexander S. Cherny, Dilip B Madan 5. 2009
313 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/10ad91fde3c15e70e75d938546e9d442050b83f6
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In Economics and Econometrics
In Finance
In Management Science and Operations Research
Citations in the corpus
- Portfolio performance evaluation with loss aversion (2010, unknown): “The most solid axiomatization approach to the construction of rational performance measures was presented by Cherny and Madan (2009). In the utility-based approach to the construction of performance measures, one assumes that investors are equipped with some particular utility function. Using this s”
- RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION (2014, unknown): “CHERNY, A., and D. MADAN (2009): New Measures for Performance Evaluation, Rev. Financ.”
- Extremiles: A New Perspective on Asymmetric Least Squares (2018, methodology): “In the special case where the power spτq in the distortion function gτ is an integer, we recover the particularly attractive and very intuitive interpretation of the so-called MINVAR risk measure introduced in Cherny and Madan (2009), namely the negative of the expected minimum Πτ rY s ErminpY (1), ”