IDEAS home Printed from https://ideas.repec.org/a/rsk/journ4/2223796.html
   My bibliography  Save this article

A variational derivation of risk-adjusted performance measures

Author

Listed:
  • George Xiang, Jiangyang Liu and Qi Wang

Abstract

ABSTRACT We derive the risk-adjusted performance measure (RAPM) Omega and the more general Kappa by applying the variational principle to the utility function with respect to the investment choice, which is comprised of how an investment is funded, and its composition, risk and return attributes. These risk measures are shown to be valid for both funded and unfunded investors, but they may fail to distinguish between portfolios with different leverage ratios. In addition, we propose a method for optimizing the RAPMs in order to yield optimal investment choices.

Suggested Citation

Handle: RePEc:rsk:journ4:2223796
as

Download full text from publisher

File URL: https://www.risk.net/system/files/import/protected/digital_assets/6042/jor_wang_web.pdf
Download Restriction: no
---><---

More about this item

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsk:journ4:2223796. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-risk .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.