Different Approaches to Risk Estimation in Portfolio Theory
- 31 October 2004
- journal article
- Published by With Intelligence LLC in The Journal of Portfolio Management
- Vol. 31 (1) , 103-112
- https://doi.org/10.3905/jpm.2004.443328
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.Keywords
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