This paper examines some performance measures to be considered as an alternative of the Sharpe Ratio. More specifically, we analyze allocation problems taking into consideration portfolio selection models based on different performance ratios. For each allocation problem, we compare the maximum expected utility observing all the portfolio selection approaches proposed here. We also discuss an ex-post multi-period portfolio selection analysis in order to describe and compare the sample path of the final wealth processes.
(2005). A comparison among performance measures in portfolio theory . Retrieved from http://hdl.handle.net/10446/203402
A comparison among performance measures in portfolio theory
Ortobelli Lozza, Sergio;
2005-01-01
Abstract
This paper examines some performance measures to be considered as an alternative of the Sharpe Ratio. More specifically, we analyze allocation problems taking into consideration portfolio selection models based on different performance ratios. For each allocation problem, we compare the maximum expected utility observing all the portfolio selection approaches proposed here. We also discuss an ex-post multi-period portfolio selection analysis in order to describe and compare the sample path of the final wealth processes.| File | Dimensione del file | Formato | |
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