Beyond Sharpe ratio: Optimal asset allocation using different performance ratios-Reference-Cited by-同舟云学术

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Beyond Sharpe ratio: Optimal asset allocation using different performance ratios

Published:2008-10 Issue:10 Volume:32 Page:2057-2063
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Farinelli Simone,Ferreira Manuel,Rossello Damiano,Thoeny Markus,Tibiletti Luisa

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference27 articles.

1. Different approaches to risk estimation in portfolio theory;Biglova;The Journal of Portfolio Management Fall,2004

2. Optimization Methods in Finance;Cornuejols,2007

3. Bootstrap Methods and their Application;Davison,1997

4. The put/call efficient Frontier;Dembo;Algo Research Quarterly,2000

5. An Introduction to the Bootstrap;Efron,1993

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