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The effects of including bankruptcy on dynamic investment decisions

Novak, Frank S. - In: Journal of agricultural and resource economics : JARE ; … 19 (1994) 2, pp. 255-266

Persistent link: https://www.econbiz.de/10001176311

Bilanzielle Zuordnung von Passivpositionen zu einzelnen Aktivpositionen

Grauer, Thomas - 2005

Persistent link: https://www.econbiz.de/10002776819

Distributionally robust portfolio optimization with linearized STARR performance measure

Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang - In: Quantitative finance 22 (2022) 1, pp. 113-127

Persistent link: https://www.econbiz.de/10012872526

Bilanzielle Zuordnung von Passivpositionen zu einzelnen Aktivpositionen

Grauer, Thomas - 2005

Persistent link: https://www.econbiz.de/10012699218

Optimal strategies under Omega ratio

Bernard, Carole; Vanduffel, Steven; Ye, Jiang - In: European journal of operational research : EJOR 275 (2019) 2, pp. 755-767

Persistent link: https://www.econbiz.de/10011993573

Dynamic Versus Static Optimization of Hedge Fund Portfolios : The Relevance of Performance Measures

Hentati Kaffel, Rania - 2010

This paper analyzes the relevance of a set of some performance measures for optimal portfolios including hedge funds. Four criteria are considered: the Sharpe Ratio, the Returns on VaR and on CVaR, and the Omega performance measure. The results are illustrated by an allocation on several...

Persistent link: https://www.econbiz.de/10013143021