Reward-Risk Ratios
Reward-Risk Ratios
复制标题
回报-风险比率
DOI：
10.2139/ssrn.2144185
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Eduard Kromer
中科院分区：
文献类型：
--
作者：
Patrick Cheridito;Eduard Kromer
我们引入了三个新的回报-风险比率族，研究了它们的性质，并将它们与现有的例子进行了比较。这三个家族的所有比率都是单调和准凹的，这意味着他们偏爱更多而不是更少，并鼓励多样化。第二个家族的成员也是尺度不变的。第三个家族是第二个家族的子集，其所有成员只依赖于收益的分布。在本文的第二部分中，我们对现有的报酬-风险比率进行了概述，并讨论了它们的性质。例如，我们证明了，与夏普比率一样，每个报酬-偏离比率都违反了单调性。
We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples. All ratios in the three families are monotonic and quasi-concave, which means that they prefer more to less and encourage diversification. Members of the second family are also scale invariant. The third family is a subset of the second one, and all its members only depend on the distribution of a return. In the second part of the paper we provide an overview of existing reward-risk ratios and discuss their properties. For instance, we show that, like the Sharpe ratio, every reward-deviation ratio violates the monotonicity property.