Different approaches to risk estimation in portfolio theory

Almira Biglova; Sergio Ortobelli; Svetlozar Rachev; Stoyan Stoyanov

doi:10.3905/jpm.2004.443328

Different approaches to risk estimation in portfolio theory

Almira Biglova, Sergio Ortobelli, Svetlozar Rachev, Stoyan Stoyanov

Mathematics and Statistics

Research output: Contribution to journal › Review article › peer-review

143 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 language	English
Pages (from-to)	103-112+6-7
Journal	Journal of Portfolio Management
Volume	31
Issue number	1
DOIs	https://doi.org/10.3905/jpm.2004.443328
State	Published - 2004

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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.",

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

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AU - Ortobelli, Sergio

AU - Rachev, Svetlozar

AU - Stoyanov, Stoyan

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M3 - Review article

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Different approaches to risk estimation in portfolio theory

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