Matches in SemOpenAlex for { <https://semopenalex.org/work/W2500019969> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W2500019969 endingPage "143" @default.
- W2500019969 startingPage "128" @default.
- W2500019969 abstract "This chapter discusses different criteria for ranking portfolios, including the Sharpe ratio, the Sortino ratio, the kappa ratio, the Omega ratio, and the Stutzer index. It is proved that in a world where portfolio returns are Gaussian distributions, all of the above ranking systems are equivalent in the sense that although they produce different numbers, they will produce the same ranking order. The chapter also proves that all of the above ranking systems implicitly assume a non-natural utility function that attributes the same utility to any positive return (utility equals to +1) and to all negative returns (utility equals to -1). It proposes a more natural utility function from which a different ranking system for Gaussian portfolios is derived, which is not equivalent to the Sharpe ratio or any of the other rankings considered. Using the Berry–Esseen theorem, it is proved that the ranking system is applicable to portfolios with non-Gaussian returns under the condition that one plans to hold the portfolio for a sufficiently long time. The chapter describes how to apply the findings to Markowitz’ Modern Portfolio Theory." @default.
- W2500019969 created "2016-08-23" @default.
- W2500019969 creator A5003212538 @default.
- W2500019969 creator A5076920992 @default.
- W2500019969 date "2006-01-01" @default.
- W2500019969 modified "2023-09-27" @default.
- W2500019969 title "On ranking schemes and portfolio selection" @default.
- W2500019969 cites W1410387172 @default.
- W2500019969 cites W2029056003 @default.
- W2500019969 cites W2052556080 @default.
- W2500019969 cites W2148654185 @default.
- W2500019969 cites W2175188600 @default.
- W2500019969 cites W2332498091 @default.
- W2500019969 cites W2482896810 @default.
- W2500019969 doi "https://doi.org/10.1016/b978-075066007-5.50013-7" @default.
- W2500019969 hasPublicationYear "2006" @default.
- W2500019969 type Work @default.
- W2500019969 sameAs 2500019969 @default.
- W2500019969 citedByCount "1" @default.
- W2500019969 crossrefType "book-chapter" @default.
- W2500019969 hasAuthorship W2500019969A5003212538 @default.
- W2500019969 hasAuthorship W2500019969A5076920992 @default.
- W2500019969 hasConcept C106159729 @default.
- W2500019969 hasConcept C121332964 @default.
- W2500019969 hasConcept C126255220 @default.
- W2500019969 hasConcept C139938925 @default.
- W2500019969 hasConcept C14036430 @default.
- W2500019969 hasConcept C144237770 @default.
- W2500019969 hasConcept C149782125 @default.
- W2500019969 hasConcept C154945302 @default.
- W2500019969 hasConcept C162118730 @default.
- W2500019969 hasConcept C162324750 @default.
- W2500019969 hasConcept C163716315 @default.
- W2500019969 hasConcept C189430467 @default.
- W2500019969 hasConcept C202655437 @default.
- W2500019969 hasConcept C205706631 @default.
- W2500019969 hasConcept C21099588 @default.
- W2500019969 hasConcept C2780821815 @default.
- W2500019969 hasConcept C33923547 @default.
- W2500019969 hasConcept C41008148 @default.
- W2500019969 hasConcept C62520636 @default.
- W2500019969 hasConcept C67051015 @default.
- W2500019969 hasConcept C78458016 @default.
- W2500019969 hasConcept C81917197 @default.
- W2500019969 hasConcept C86803240 @default.
- W2500019969 hasConceptScore W2500019969C106159729 @default.
- W2500019969 hasConceptScore W2500019969C121332964 @default.
- W2500019969 hasConceptScore W2500019969C126255220 @default.
- W2500019969 hasConceptScore W2500019969C139938925 @default.
- W2500019969 hasConceptScore W2500019969C14036430 @default.
- W2500019969 hasConceptScore W2500019969C144237770 @default.
- W2500019969 hasConceptScore W2500019969C149782125 @default.
- W2500019969 hasConceptScore W2500019969C154945302 @default.
- W2500019969 hasConceptScore W2500019969C162118730 @default.
- W2500019969 hasConceptScore W2500019969C162324750 @default.
- W2500019969 hasConceptScore W2500019969C163716315 @default.
- W2500019969 hasConceptScore W2500019969C189430467 @default.
- W2500019969 hasConceptScore W2500019969C202655437 @default.
- W2500019969 hasConceptScore W2500019969C205706631 @default.
- W2500019969 hasConceptScore W2500019969C21099588 @default.
- W2500019969 hasConceptScore W2500019969C2780821815 @default.
- W2500019969 hasConceptScore W2500019969C33923547 @default.
- W2500019969 hasConceptScore W2500019969C41008148 @default.
- W2500019969 hasConceptScore W2500019969C62520636 @default.
- W2500019969 hasConceptScore W2500019969C67051015 @default.
- W2500019969 hasConceptScore W2500019969C78458016 @default.
- W2500019969 hasConceptScore W2500019969C81917197 @default.
- W2500019969 hasConceptScore W2500019969C86803240 @default.
- W2500019969 hasLocation W25000199691 @default.
- W2500019969 hasOpenAccess W2500019969 @default.
- W2500019969 hasPrimaryLocation W25000199691 @default.
- W2500019969 hasRelatedWork W1582138621 @default.
- W2500019969 hasRelatedWork W2056255815 @default.
- W2500019969 hasRelatedWork W2328123765 @default.
- W2500019969 hasRelatedWork W2948557569 @default.
- W2500019969 hasRelatedWork W3123094310 @default.
- W2500019969 hasRelatedWork W3126133932 @default.
- W2500019969 hasRelatedWork W3156491025 @default.
- W2500019969 hasRelatedWork W3199983070 @default.
- W2500019969 hasRelatedWork W4200356998 @default.
- W2500019969 hasRelatedWork W4289175136 @default.
- W2500019969 isParatext "false" @default.
- W2500019969 isRetracted "false" @default.
- W2500019969 magId "2500019969" @default.
- W2500019969 workType "book-chapter" @default.