Coherent portfolio performance ratios
| Autor: | Yoram Kroll, Moshe Ben-Horin, Andrea Marchioni |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
050208 finance
biology Omega ratio Mathematical finance 05 social sciences Stochastic dominance Sortino ratio biology.organism_classification Investment (macroeconomics) Chen 0502 economics and business Coherent risk measure Econometrics Economics Portfolio 050207 economics General Economics Econometrics and Finance Finance |
| Zdroj: | Quantitative Finance. 21:1589-1603 |
| ISSN: | 1469-7696 1469-7688 |
| Popis: | In Quantitative Finance 2016, Chen, Hu and Lin (CHL) claimed the following: ‘ … there is yet no coherent risk measure related to investment performance.’ (p. 682). Our paper suggests and analyzes f... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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