PT  - JOURNAL ARTICLE
AU  - Almira Biglova
AU  - Sergio Ortobelli
AU  - Svetlozar T Rachev
AU  - Stoyan Stoyanov
TI  - Different Approaches to Risk Estimation in Portfolio Theory
AID  - 10.3905/jpm.2004.443328
DP  - 2004 Oct 31
TA  - The Journal of Portfolio Management
PG  - 103--112
VI  - 31
IP  - 1
4099  - https://pm-research.com/content/31/1/103.short
4100  - https://pm-research.com/content/31/1/103.full
AB  - Some new performance measures may be regarded as alternatives to the most popular criterion for portfolio optimization, the Sharpe ratio. Analysis of some allocation problems here takes into consideration portfolio selection models based on different risk perceptions and sample paths of the final wealth process for each allocation problem. One new performance ratio seems to be suitable for some optimization problems, but we need a thorough classification of the set of performance measures that would be ideal for large classes of financial optimization problems.