A decision-theoretic foundation for reward-to-risk performance measures

By Frank Schuhmacher, Martin Eling. 2012

55 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/60dab8da69441a88f9a2b6bfb0f56cb9f4bb702e

How researchers see this paper

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

In Management Science and Operations Research

1. Benjamin R. Auer
2. Frank Schuhmacher
3. Martin Eling

In Statistics and Probability

1. Benjamin R. Auer

Citations in the corpus

• Do socially (ir)responsible investments pay? New evidence from international ESG data (2016, background): “…than well diversified investors.4 It has a decision-theoretic foundation under a wide range of (skewed and fat-tailed) non-normal distributions (see Schuhmacher & Eling, 2011, 2012) and the significance of performance differences can be tested using state-of-the-art bootstrap methods that are…”
• The risk-adjusted return potential of integrating ESG strategies into emerging market equities (2018, background): “Studies conducted by Schuhmacher and Eling (2011, 2012) and Schuhmacher and Breuer (2014), as well as Auer (2015) find that the Sharpe ratio is not disqualified by either distribution asymmetry nor fat tails, both of which are common within emerging market debt and equity investments (Maschek 2006;…”