Different Approaches to Risk Estimation in Portfolio Theory

By Almira Biglova, S. Ortobelli, Svetlozar T. Rachev, Stoyan Stoyanov. 2004

258 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4d8881833ce4a7473ce0ea1c60609ba660a2ddac

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Frank J Fabozzi 3
2. Svetlozar T. Rachev
3. Stoyan Stoyanov
4. Almira Biglova
5. S. Ortobelli
6. Michele Leonardo Bianchi
7. Young Shin Kim

In Management Science and Operations Research

1. Stoyan Stoyanov
2. Frank J Fabozzi 3
3. Svetlozar T. Rachev
4. Almira Biglova
5. Wei Yue
6. Yuping Wang
7. S. Ortobelli

Citations in the corpus

• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY (2008, background): “The R-ratio and the GR-ratio have been proposed since there is empirical evidence that they are more appropriate for investment decisions in the case of heavy-tailed returns (see Biglova et al (2004)).”
• New Measures for Performance Evaluation (2009, unknown): “Recalling representation (4), we may now define the TVAR acceptability index”
• A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios (2017, background): “Particularly, the SR can lead to misleading conclusions when the return distributions are skewed or kurtosis [40].”
• Optimal Financial Portfolios (2007, unknown): “A multitude of performance measures have been proposed in the literature, some of them with non-linear reward measures, see Biglova et al. (2004), Rachev et al. (2005) and the references therein.”