Different approaches to risk estimation in portfolio theory

被引：127

作者：

Biglova, A ^{[1
]}

Ortobelli, S

Rachev, S

Stoyanov, S

机构：

[1] Univ Karlsruhe, Inst Econometr Stat & Math Finance, Karlsruhe, Germany

[2] Univ Bergamo, MSIA, Bergamo, Italy

[3] Univ Karlsruhe, Sch Econ & Business Engn, Karlsruhe, Germany

[4] Univ Calif Santa Barbara, Santa Barbara, CA USA

[5] Finanal Inc, Santa Barbara, CA USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2004年 / 31卷 / 01期

关键词：

D O I：

10.3905/jpm.2004.443328

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Some new performance measures may be regarded as alternatives to the most popular criterion for portfolio optimization, the Sharpe ratio. Analysis of some allocation problems here takes into consideration portfolio selection models based. on different risk perceptions and sample paths of the final wealth process for each allocation problem. One new performance ratio seems to be suitable for some optimization problems, but we need a thorough classification of the set of performance measures that would be ideal for large classes of financial optimization problems.

引用

页码：103 / +

页数：12

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