Voelzke, Jan - Center for Quantitative Economics (CQE), … - 2014
The Gain-Loss-Ratio, proposed by Bernardo and Ledoit (2000), evaluates the attractiveness of an investment opportunity … more general ratio is proposed, which includes the original Gain-Loss-Ratio as a limit case. This so-called "Substantial … Gain-Loss-Ratio" is applicable in case of continuous probabilities. In addition, in its function as a performance measure …