A comparison among performance measures in portfolio theory
A comparison among performance measures in portfolio theory
复制标题
投资组合理论中绩效衡量指标的比较
DOI：
10.3182/20050703-6-cz-1902.02236
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
F. Fabozzi
中科院分区：
文献类型：
--
作者：
S. Ortobelli;Almira Biglova;Stoyan Stoyanov;S. Rachev;F. Fabozzi
摘要本文探讨了一些性能指标被认为是夏普比率的替代。更具体地说，我们分析分配问题，考虑到投资组合选择模型的基础上，不同的性能比率。对于每个分配问题，我们比较了最大期望效用观察所有的投资组合选择方法在这里提出。我们还讨论了一个事后多期投资组合选择分析，以描述和比较最终财富过程的样本路径。
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.