Showing 1 - 10 of 17,466
Persistent link: https://www.econbiz.de/10003362139
Persistent link: https://www.econbiz.de/10011302308
Persistent link: https://www.econbiz.de/10013177074
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...
Persistent link: https://www.econbiz.de/10011643419
Persistent link: https://www.econbiz.de/10003929052
Persistent link: https://www.econbiz.de/10008935882
Persistent link: https://www.econbiz.de/10013263291
Persistent link: https://www.econbiz.de/10003920738
Persistent link: https://www.econbiz.de/10003946505
Persistent link: https://www.econbiz.de/10008987547