Coherent portfolio performance ratios
Year of publication: |
2021
|
---|---|
Authors: | Kroll, Yoram ; Marchioni, Andrea ; Ben-Horin, Moshe |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 9, p. 1589-1603
|
Subject: | Coherent performance ratios | Coherent risk measures | Downside risk measures | FSDR and SSDR rules | Kappa ratio | Lower partial moments | Omega ratio | Sortino ratio | Stochastic dominance | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Betriebliche Kennzahl | Financial ratio | Messung | Measurement | Finanzanalyse | Financial analysis |
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