@inproceedings{c686bd40ea3b430e96479c44db34dbce,

title = "A comparison among performance measures in portfolio theory",

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.",

keywords = "Efficient frontier, Expected utility, Heavy tails, Performance ratios, Portfolio choice, Risk measure",

author = "Sergio Ortobelli and Almira Biglova and Stoyan Stoyanov and Svetlozar Rachev and Frank Fabozzi",

note = "Funding Information: Ingersoll, Welch (2003), Farinelli, Tibiletti (2003), Dowd (2001), Sortino (2000), Pedersen and Satchell (2002)). In the spirit of these recent researches, we want to consider more general risk-reward ratios best suited to compare skewed and heavy tailed return distributions with respect to a benchmark. In the spirit of these recent researches, we want to consider more general risk-reward ratios best suited to compare skewed and heavy tailed return distributions with respect to a benchmark. In view of this consideration we introduce and discuss several performance measures. In particular, we compare the classic Sharpe ratio with other ratios proposed in literature: minimax ratio (Young (1998)), Stable ratio (Ortobelli, Rachev Schwartz (2003)), MAD ratio (Konno and Yamazaki (1991)), Farinelli-Tibiletti ratio (Farinelli,Tibiletti (2003)) Sortino-Satchell ratio (Sortino (2000), Pedersen, Satchell (2002)), Colog-type ratios (Giacometti, Ortobelli (2001)), VaR and CVaR ratios (Favre and Galeano (2002) and Martin, Rachev, Siboulet (2003)) Rachev-type ratios (see 1Svetlozar Rachev's research was supported by grants from Division of Mathematical, Life and Physical Sciences, College of Letters and Science, University of California, Santa Barbara and the Deutschen Forschungsgemeinschaft. Sergio Ortobelli's research has been partially supported under Murst 40%, 60%, 2002, 2003, 2004 and CNR-MIUR-Legge 95/95.",

year = "2005",

doi = "10.3182/20050703-6-cz-1902.02236",

language = "English",

isbn = "008045108X",

series = "IFAC Proceedings Volumes (IFAC-PapersOnline)",

publisher = "IFAC Secretariat",

pages = "1--5",

booktitle = "Proceedings of the 16th IFAC World Congress, IFAC 2005",

}