Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory
Year of publication: |
2007-08
|
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Authors: | Pézier, Jacques |
Institutions: | Henley Business School, University of Reading |
Subject: | Certain equivalent excess return | risk adjusted performance measures | risk aversion | power utility functions | coherent risk measures | spectral indices | Sharpe ratio | generalized Sharpe ratio | information ratio | Treynor ratio | Jensen alpha | skewness | kurtosis | downside risk measures | expected shortfall | Sortino ratio | Omega ratio |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number icma-dp2008-05 31 pages |
Classification: | D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G11 - Portfolio Choice |
Source: |
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Rationalization of Investment Preference Criteria
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Insurance demand and first order risk increases under (μ,σ)-preferences
Bonilla, Claudio A., (2014)
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Caballe, J., (1995)
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A Comprehensive Evaluation of Portfolio Insurance Strategies
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Average Portfolio Insurance Strategies
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Does Information Content of Option Prices Add Value for Asset Allocation?
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