Beyond Sharpe ratio: Optimal asset allocation using different performance ratios

By Simone Farinelli, Manuel Ferreira, D. Rossello, Markus Thoeny, L. Tibiletti. 2008

164 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/5dff814e75f35953581d1cae979e9eb043c9b102

Citations in the corpus

• Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, unknown): “…of modern finance, most of the alternative 1 For a brief review of different portfolio performance measures, as well as different ward and risk measures used in performance evaluation, the interested reader can re consult Eling and Schuhmacher (2007) and especially Farinelli et al. (2008).”
• Portfolio performance evaluation with loss aversion (2010, unknown): “…(1998), who showed that the solution to the optimal capital allocation problem does not exist for bilinear utility, which is defined by ¼ ¼ 1. zSee Farinelli et al. (2008) and references therein. the short sale restriction, this investor finds it optimal to invest in the risky portfolio when…”