This paper proposes new performance measures to be regarded as alternatives for the most popular measures used as criterions for portfolio optimization. In order to prove the forecast ability of new ratios, we analyzed some allocation problems taking into consideration portfolio selection models based on different risk perceptions. In particular, we compare several portfolio selection approaches considering the sample path of the final wealth process for each allocation problem.
(2004). Different approaches to risk estimation in portfolio theory [journal article - articolo]. In JOURNAL OF PORTFOLIO MANAGEMENT. Retrieved from http://hdl.handle.net/10446/20197
Different approaches to risk estimation in portfolio theory
ORTOBELLI LOZZA, Sergio;
2004-01-01
Abstract
This paper proposes new performance measures to be regarded as alternatives for the most popular measures used as criterions for portfolio optimization. In order to prove the forecast ability of new ratios, we analyzed some allocation problems taking into consideration portfolio selection models based on different risk perceptions. In particular, we compare several portfolio selection approaches considering the sample path of the final wealth process for each allocation problem.Pubblicazioni consigliate
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