RT Journal Article
SR Electronic
T1 Different Approaches to Risk Estimation in Portfolio Theory
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 103
OP 112
DO 10.3905/jpm.2004.443328
VO 31
IS 1
A1 Almira Biglova
A1 Sergio Ortobelli
A1 Svetlozar T Rachev
A1 Stoyan Stoyanov
YR 2004
UL https://pm-research.com/content/31/1/103.abstract
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.