A comparison among performance measures in portfolio theory
| Authors: | Ortobelli Sergio, University of Bergamo, Italy
Biglova Almira, University of Karlsruhe, Germany
Rachev Svetlozar, University of California, Santa Barbara, United States
Fabozzi Frank, Yale University, Connecticut, United States
Stoyanov Stoyan, University of Sofia, Bulgaria |
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| Topic: | 9.1 Economic & Business Systems |
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| Session: | Finance and Banking |
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| Keywords: | Performance ratios, heavy tails, portfolio choice, risk measure,expected utility, efficient frontier. |
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Abstract
This paper examines some performance measures to be considered asan alternative of the Sharpe Ratio. More specifically, we analyze allocation problems taking into consideration portfolioselection models based on different performance ratios. For eachallocation problem, we compare the maximum expected utilityobserving all the portfolio selection approaches proposed here. Wealso discuss an ex-post multi-period portfolio selection analysisin order to describe and compare the sample path of the finalwealth processes.
