Different approaches to risk estimation in portfolio theory

Almira Biglova, Sergio Ortobelli, Svetlozar Rachev, Stoyan Stoyanov

Research output: Contribution to journalReview articlepeer-review

100 Scopus citations

Abstract

Some new performance measures may be regarded as alternatives to the most popular criterion for portfolio optimization, the Sharpe ratio. Analysis of some allocation problems here takes into consideration portfolio selection models based on different risk perceptions and sample paths of the final wealth process for each allocation problem. One new performance ratio seems to be suitable for some optimization problems, but we need a thorough classification of the set of performance measures that would be ideal for large classes of financial optimization problems.

Original languageEnglish
Pages (from-to)103-112+6-7
JournalJournal of Portfolio Management
Volume31
Issue number1
DOIs
StatePublished - 2004

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