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- W2182767988 abstract "In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, Upsidepotential ratio, Sortino-Satchell ratio, Farinelli-Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio, Rachev ratio, Generalized Rachev ratio), and other admissible performance measures are a strictly increasing function in the Sharpe ratio. The theoretical basis of this result is the locations-scaleand two other plausible and mild conditions. Our result provides a decision-theoretic foundation for all these frequently used performance measures. Moreover, it explains the empirical finding that all these measures typically lead to very similar rankings." @default.
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- W2182767988 date "2011-01-01" @default.
- W2182767988 modified "2023-09-27" @default.
- W2182767988 title "A decision-theoretic foundation for two-parameter performance measures" @default.
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