Monotone Sharpe ratios and related measures of investment performance

Mikhail Zhitlukhin

Papers from arXiv.org

Abstract: We introduce a new measure of performance of investment strategies, the monotone Sharpe ratio. We study its properties, establish a connection with coherent risk measures, and obtain an efficient representation for using in applications.

Date: 2018-09, Revised 2021-05
New Economics Papers: this item is included in nep-rmg
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