PL EN


2013 | 135 | 137-149
Article title

Miary ryzyka a pomiar efektywności inwestycji

Content
Title variants
EN
Risk Measures Versus Market Performance
Languages of publication
PL
Abstracts
EN
This paper characterizes performance measures satisfying a set of proposed axioms. We develop four new measures consistent with the axioms and show that they improve on the economic properties of the Sharpe Ratio and the Gain-Loss Ratio. In our treatment, the performance measures, or the indexes of acceptability, are linked to positive expectations resulting from a stressed sampling of the cash-flow distribution.
Year
Volume
135
Pages
137-149
Physical description
Contributors
References
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Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-38b90f59-cf6d-4ee7-8dfc-0b709fbb340e
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