Beyond Sharpe ratio: Optimal asset allocation using different performance ratios

Journal of Banking and Finance

Volumn 32, Issue 10, 2008, Pages 2057-2063

  Farinelli, Simone ^a   Ferreira, Manuel ^b   Rossello, Damiano ^c   Thoeny, Markus ^b   Tibiletti, Luisa ^d  

^a Union Bank of Switzerland   (Switzerland)

^b Cantonal Bank of Zurich   (Switzerland)

^c UNIVERSITY OF CATANIA   (Italy)

^d UNIVERSITY OF TURIN   (Italy)

Author keywords

Asset allocation; One sided measures; Performance ratios; Portfolio optimization

Indexed keywords

EID: 51549091460     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.12.026     Document Type: Article

References (27)

1. Biglova A., Ortobelli S., Rachev S.T., and Stoyanov S. Different approaches to risk estimation in portfolio theory. The Journal of Portfolio Management Fall (2004) 103-112
2. Cornuejols G., and Tütüncü R. Optimization Methods in Finance (2007), Cambridge University Press, NY
3. Davison A.C., and Hinkley D.V. Bootstrap Methods and their Application (1997), Cambridge University Press, Cambridge
4. Dembo R.S., and Mausser H. The put/call efficient Frontier. Algo Research Quarterly 31 1 (2000) 13-25
5. Efron B., and Tibshirani R. An Introduction to the Bootstrap (1993), Chapman & All, NY
6. Ekholm A., and Pasternack D. The negative news threshold - an explanation for negative Skewness in stock returns. The European Journal of Finance 11 (2005) 511-529
7. Farinelli S., and Tibiletti L. Sharpe thinking in asset ranking with one-sided measures. European Journal of Operational Research 185 (2008) 1542-1547
8. Farinelli S., Ferreira M., Rossello D., Thoeny M., and Tibiletti L. Optimal asset allocation aid system: from "one-size" vs. "tailor-made" performance ratios. European Journal of Operational Research (2007) 10.1016/j.ejor.2007.08.035
9. Fishburn P.C. Mean-risk analysis with risk associated with below-target returns. American Economic Review 66 (1977) 116-126
10. Huber I., Ortobelli S., Rachev S.T., and Schwartz E. Portfolio choice theory with non-Gaussian distributed returns. In: Rachev S.T. (Ed). Handbook of Heavy Tailed Distribution in Finance (2003), Elsevier, Amsterdam 547-594
11. Kahneman D., and Tversky A. Prospect theory: an analysis of decisions under risk. Econometrica 47 2 (1979) 263-291
12. Konno H., and Yamazaki H. Mean-absolute deviation portfolio optimization model and its application to Tokyo stock market. Management Science 37 (1991) 519-531
13. Kushner H.J., and Yin G.G. Stochastic approximation and recursive algorithms and applications (2003), Springer-Verlag, NY
14. Leland H.E. Beyond mean-variance: performance measurement in a non-symmetrical world. Financial Analyst Journal 55 (1999) 27-35
15. Menn C., Fabozzi F.J., and Rachev S.T. Fat-tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection, and Option Pricing (2005), John Wiley & Sons
16. Mittnik S., and Rachev S.T. Stable Paretian Models in Finance. Series in Financial Economics and Quantitative Analysis (2000), Wiley, Chichester
17. Nolan J.P. Numerical approximations of stable densities and distribution functions. Commun. Stat. Stochastic Models 13 (1997) 759-774
18. Rockafellar R.T., and Uryasev S. Conditional value-at-risk for general loss distribution. Journal of Banking and Finance 26 7 (2002) 1443-1471
19. Roy A.D. Safety first and the holdings of assets. Econometrica 20 3 (1952) 431-449
20. Shalit H., and Yitzhaki S. Mean-Gini, Portfolio theory, and the pricing of risky assets. Journal of Finance 39 (1984) 1449-1468
21. Sharpe W.F. Mutual funds performance. Journal of Business, January (1966) 119-138
22. Sharpe W.F. The Sharpe ratio. The Journal of Portfolio Management, Fall (1994) 49-58
23. Sortino F.A., and Satchell S. Managing Downside Risk in Financial Markets (2001), Butterworth Heinemann
24. Young M.R. A minimax portfolio selection rule with linear programming solution. Management Science 44 (1998) 673-683
25. Zenios S.A. A model for portfolio management with mortgage-backed securities. Annals of Operations Research 43 (1993) 337-356
26. Zenios S.A. Asset/liability management under uncertainty for fixed-income securities. Annals of Operations Research 59 (1995) 77-98
27. Zenios S.A., and Kang P. Mean-absolute deviation portfolio optimization for mortgage backed securities. Annals of Operations Research 45 (1993) 433-450