The Symmetric Downside-Risk Sharpe Ratio

William T. Ziemba

Chapter 52 in The Kelly Capital Growth Investment Criterion:Theory and Practice, 2011, pp 769-784 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The Sharpe ratio is a very useful measure of investment performance. Because it is based on mean-variance theory, and thus is basically valid only for quadratic preferences or normal distributions, skewed investment returns can lead to misleading conclusions. This is especially true for superior investors with many high returns. Superior investors may use capital growth wagering ideas to implement their strategies, which produces higher growth rates but also higher variability of wealth…

Keywords: Kelly Criterion; Dynamic Investment Analysis; Capital Growth Theory; Sports Betting; Hedge Fund Strategies; Speculative Investing; Fortune 's Formula (search for similar items in EconPapers)
Date: 2011
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