Phi-alpha optimal portfolios and Extreme Risk Management

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Momentum strategies based on reward-risk stock selection criteria (2007, background): “The STARR(1-α)100% ratio (CVaR(1-α)100% ratio) is the ratio between the expected excess return and its conditional value at risk (Martin et al., 2003): STARR((1 – α)·100) := STARR(1-α)100% := )( )( )( %100)1( f f rrCVaR rrE r − − = −α ρ (3) where CVaR(1-α)100% (r) = ETLα100%(r), see (1).”
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY (2008, background): “Beside the Sharpe ratio, many more examples can be obtained by changing the risk and reward functional (see Rachev et al (2003) and Biglova et al (2004) and the references therein): • the STARR ratio: E(wTr - rb)/ETLα(wTr - rb) • the Stable ratio: E(wTr - rb)/σrp, where σrp is the portfolio…”
Optimal Financial Portfolios (2007, unknown): “The STARR ratio is defined as STARR wð Þ~ w T Er{Erb CVaRa wT r{rbð Þ ð15Þ and is proposed in Martin et al. (2003).”
Different Approaches to Risk Estimation in Portfolio Theory (2004, background): “FALL 2004 THE JOURNAL OF PORTFOLIO MANAGEMENT 103 A lmost forty years ago, Sharpe [1966] developed a measure then called reward-to-variability for evaluating and predicting the performance of mutual fund managers.”