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

1 Scopus citations


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
Number of pages5
ISBN (Print)008045108X, 9780080451084
StatePublished - 2005

Publication series

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


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

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