Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125030432> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W3125030432 abstract "While the Sharpe ratio is still the dominant measure for ranking risky assets, a substantial effort has been made over the past three decades to find a way to account for non-Normally distributed risks. This paper derives a generalized ranking measure which, under a regularity condition, correctly ranks risks relative to the original investor problem for a broad probability space. Moreover, like the Sharpe ratio, the generalized measure maintains wealth separation for the broad HARA utility class. Besides being effective in the presence of fat tails, the generalized measure is also a foundation for multi-asset class portfolio optimization due to its ability to pairwise rank two risks following two different probability distributions. This paper also explores the theoretical foundations of risk ranking, including proving a key impossibility theorem: any ranking measure that is valid for non-Normal distributions cannot generically be free from investor preferences. Finally, this paper shows that the generalized ratio provides substantially more ranking power than simpler approximation measures that have sometimes been used in the past to account for non-Normal higher moments, even if those approximations are extended to include an infinite number of higher moments." @default.
- W3125030432 created "2021-02-01" @default.
- W3125030432 creator A5012608258 @default.
- W3125030432 creator A5021596254 @default.
- W3125030432 date "2013-10-01" @default.
- W3125030432 modified "2023-09-23" @default.
- W3125030432 title "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks" @default.
- W3125030432 cites W2038433189 @default.
- W3125030432 cites W2077559812 @default.
- W3125030432 cites W2096086683 @default.
- W3125030432 cites W2118475506 @default.
- W3125030432 cites W2143220546 @default.
- W3125030432 cites W2253374530 @default.
- W3125030432 cites W2332498091 @default.
- W3125030432 cites W3124207798 @default.
- W3125030432 hasPublicationYear "2013" @default.
- W3125030432 type Work @default.
- W3125030432 sameAs 3125030432 @default.
- W3125030432 citedByCount "0" @default.
- W3125030432 crossrefType "posted-content" @default.
- W3125030432 hasAuthorship W3125030432A5012608258 @default.
- W3125030432 hasAuthorship W3125030432A5021596254 @default.
- W3125030432 hasConcept C105795698 @default.
- W3125030432 hasConcept C106159729 @default.
- W3125030432 hasConcept C114614502 @default.
- W3125030432 hasConcept C139819358 @default.
- W3125030432 hasConcept C139938925 @default.
- W3125030432 hasConcept C144237770 @default.
- W3125030432 hasConcept C149782125 @default.
- W3125030432 hasConcept C154945302 @default.
- W3125030432 hasConcept C162324750 @default.
- W3125030432 hasConcept C164226766 @default.
- W3125030432 hasConcept C184898388 @default.
- W3125030432 hasConcept C189430467 @default.
- W3125030432 hasConcept C2780009758 @default.
- W3125030432 hasConcept C2780821815 @default.
- W3125030432 hasConcept C2781472820 @default.
- W3125030432 hasConcept C33923547 @default.
- W3125030432 hasConcept C38652104 @default.
- W3125030432 hasConcept C41008148 @default.
- W3125030432 hasConcept C76178495 @default.
- W3125030432 hasConcept C77088390 @default.
- W3125030432 hasConceptScore W3125030432C105795698 @default.
- W3125030432 hasConceptScore W3125030432C106159729 @default.
- W3125030432 hasConceptScore W3125030432C114614502 @default.
- W3125030432 hasConceptScore W3125030432C139819358 @default.
- W3125030432 hasConceptScore W3125030432C139938925 @default.
- W3125030432 hasConceptScore W3125030432C144237770 @default.
- W3125030432 hasConceptScore W3125030432C149782125 @default.
- W3125030432 hasConceptScore W3125030432C154945302 @default.
- W3125030432 hasConceptScore W3125030432C162324750 @default.
- W3125030432 hasConceptScore W3125030432C164226766 @default.
- W3125030432 hasConceptScore W3125030432C184898388 @default.
- W3125030432 hasConceptScore W3125030432C189430467 @default.
- W3125030432 hasConceptScore W3125030432C2780009758 @default.
- W3125030432 hasConceptScore W3125030432C2780821815 @default.
- W3125030432 hasConceptScore W3125030432C2781472820 @default.
- W3125030432 hasConceptScore W3125030432C33923547 @default.
- W3125030432 hasConceptScore W3125030432C38652104 @default.
- W3125030432 hasConceptScore W3125030432C41008148 @default.
- W3125030432 hasConceptScore W3125030432C76178495 @default.
- W3125030432 hasConceptScore W3125030432C77088390 @default.
- W3125030432 hasOpenAccess W3125030432 @default.
- W3125030432 hasRelatedWork W1497940710 @default.
- W3125030432 hasRelatedWork W1902381248 @default.
- W3125030432 hasRelatedWork W2031108073 @default.
- W3125030432 hasRelatedWork W2104741153 @default.
- W3125030432 hasRelatedWork W2270166032 @default.
- W3125030432 hasRelatedWork W2392921960 @default.
- W3125030432 hasRelatedWork W2504175869 @default.
- W3125030432 hasRelatedWork W2533916343 @default.
- W3125030432 hasRelatedWork W256824573 @default.
- W3125030432 hasRelatedWork W2953294738 @default.
- W3125030432 hasRelatedWork W3121281996 @default.
- W3125030432 hasRelatedWork W3121311172 @default.
- W3125030432 hasRelatedWork W3121928739 @default.
- W3125030432 hasRelatedWork W3122223122 @default.
- W3125030432 hasRelatedWork W3142438110 @default.
- W3125030432 hasRelatedWork W50962714 @default.
- W3125030432 hasRelatedWork W632680268 @default.
- W3125030432 hasRelatedWork W822373233 @default.
- W3125030432 hasRelatedWork W2185238105 @default.
- W3125030432 hasRelatedWork W2552771988 @default.
- W3125030432 isParatext "false" @default.
- W3125030432 isRetracted "false" @default.
- W3125030432 magId "3125030432" @default.
- W3125030432 workType "article" @default.