A comparison among performance measures in portfolio theory

Sergio Ortobelli, Almira Biglova, Stoyan Stoyanov, Svetlozar Rachev, Frank Fabozzi

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

This paper examines some performance measures to be considered as an alternative of the Sharpe Ratio. More specifically, we analyze allocation problems taking into consideration portfolio selection models based on different performance ratios. For each allocation problem, we compare the maximum expected utility observing all the portfolio selection approaches proposed here. We also discuss an ex-post multi-period portfolio selection analysis in order to describe and compare the sample path of the final wealth processes.

Original languageEnglish
Title of host publicationProceedings of the 16th IFAC World Congress, IFAC 2005
PublisherIFAC Secretariat
Pages1-5
Number of pages5
ISBN (Print)008045108X, 9780080451084
DOIs
StatePublished - 2005

Publication series

NameIFAC Proceedings Volumes (IFAC-PapersOnline)
Volume16
ISSN (Print)1474-6670

Keywords

  • Efficient frontier
  • Expected utility
  • Heavy tails
  • Performance ratios
  • Portfolio choice
  • Risk measure

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