Dacorogna, Michel M.; Gençay, Ramazan; Müller, Ulrich A. - In: Physica A: Statistical Mechanics and its Applications 289 (2001) 1, pp. 229-248
We derive two risk-adjusted performance measures for investors with risk averse preferences. Maximizing these measures is equivalent to maximizing the expected utility of an investor. The first measure, Xeff, is derived assuming a constant risk aversion while the second measure, Reff, is based...