Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance

By Valeri I. Zakamouline, Steen Koekebakker. 2009

205 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cddfc775031f69f64e71428f0817dc9190ea3b59

Citations in the corpus

• Portfolio performance evaluation with loss aversion (2010, unknown): “Later, Zakamouline and Koekebakker ( 2009a , b ) used a similar idea to that of Pedersen and Satchell ( 2002 ) to derive new utility-based performance measures.”