A Universal Performance Measure

By C. Keating, W. Shadwick. 2002

739 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b270b0d59032ec0db11689fd250622737be3af80

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Citations in the corpus

Portfolio selection with higher moments (2010, unknown): “The approach proposed in our paper is somewhat related to Shadwick and Keating (2002) and Cascon, Keating and Shadwick (2003) who argue that point estimates of mean and variance of an assumed sampling distribution are insufficient summaries of the available information of future returns.”
Risk management with expectiles (2017, methodology): “From this point of view, they had been considered in Weber (2006) and by Ben Tal and Teboulle (2007), although the connection with the minimization problem (1) and with the statistical notion of expectile emerged only in the more recent literature.”
Static portfolio choice under Cumulative Prospect Theory (2010, unknown): “1 The Omega measure [29] For a given return random variable x̃ with cdf F and support (a, b) on the real line, the Omega measure at threshold level L is given by: F (L) = ∫ b L [1 − F(x)] dx ∫ L a F(x)dx = EP [ (̃x − L)+] EP [ (L − x̃)+] > 0 where expectations are taken under the physical probabilit”
Portfolio performance evaluation with loss aversion (2010, unknown): “1See Shadwick and Keating (2002). This ratio is also known as the Bernardo-Ledoit gain-loss ratio, see Bernardo and Ledoit (2000).”
Does the Measure Matter in the Mutual Fund Industry? (2008, unknown): “1 Shadwick and Keating (2002)”
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment (2011, methodology): “17Both k0 and the CPT-ratio are also related to the so-called Omega measure introduced by Keating and Shadwick (2002) and the gain–loss ratio of Bernardo and Ledoit (2000).”
Distributionally Robust Optimization: A Review (2019, methodology): “They further apply their results to portfolio optimization problem for the Sharpe ratio [296] and Omega ratio [170].”
Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “6 Therefore we also estimate the Omega ratio (Shadwick and Keating 2002) and the Sortino ratio (Sortino and van der Meer 1991) as additional performance metrics.”
Optimal stochastic extragradient schemes for pseudomonotone stochastic variational inequality problems and their variants (2014, background): “ormance ratios in automotive design [6], and signal-to-noise ratios in wireless networks [7] can often be cast as pseudomonotone. More recently, eorts in nancial engineering optimize the Omega ratio [8,9] which quanties the ratio of gain probability to loss probability. All of the above problems fal”