When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

Li Chen · Simai He · Shuzhong Zhang

40 citations0/0 files storedQuantitative Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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Quantitative risk management plays a key role in quantitative finance. Financial institutions are typically equipped with a quantitative risk control division to evaluate the risks before trading t...

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1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1959Portfolio Selection: Efficient Diversification of Investments 1952Portfolio Selection 1966Mutual Fund Performance 2002Conditional value-at-risk for general loss distributions 1994The Sharpe Ratio 1952Safety First and the Holding of Assets

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2012A decision-theoretic foundation for reward-to-risk performance measures 2021Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed

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