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Sharpe thinking in asset ranking with one-sided measures
TLDR
A general risk–reward ratio suitable to compare skewed returns with respect to a benchmark is introduced and includes asymmetrical information on: “good” volatility and “bad’ volatility, and asymmetrical preference to bet on potential high stakes and the aversion against possible huge losses. Expand
Beyond Sharpe ratio: Optimal asset allocation using different performance ratios
As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for constructing optimal portfolios. In order to overcome theExpand
One-size or tailor-made performance ratios for ranking hedge funds?
Whether the Sharpe ratio is an appropriate performance index for ranking hedge funds remains a controversial question among both academics and practitioners. Eling and Schuhmacher compared the SharpeExpand
On the spectrum of the Dirac operator under boundary conditions
Given a Dirac operator P on a manifold with boundary, we discuss a particular local elliptic boundary condition for P as well as the (pseudo-differential) boundary condition of Atiyah-Patodi-SingerExpand
Sharpe Thinking with Asymmetrical Preferences
As we leave behind the assumption of normality in return distributions, the classical risk-reward Sharpe Ratio becomes a questionable tool for ranking risky projects. In the spirit of SharpeExpand
Optimal asset allocation aid system: From "one-size" vs "tailor-made" performance ratio
TLDR
Generalized Rachev ratios outperform in personalized allocation for "extreme" risk profiles, whereas Sortino-Satchell and Farinelli-Tibiletti ratios for those that are more moderate are suggested for personalizing asset allocation. Expand
Upside and downside risk with a benchmark
Quantitative assessment on the risk involved in Þnancial positions has received a growing interest among practitioners and academics. Any risk assessment requires one to choose a risk measure, i.e.,Expand
Gauge Invariance, Geometry and Arbitrage
In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire andExpand
Two Models of Stochastic Loss Given Default
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated intoExpand
Computational Asset Allocation Using One-Sided and Two-Sided Variability Measures
TLDR
This work investigates the forecasting ability of eleven alternatives ratios in portfolio optimization problems and employs data from security markets to quantify the portfolio’s overperformance with respect to a given benchmark. Expand
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