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Monotone Sharpe ratios and related measures of investment performance

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  • Mikhail Zhitlukhin

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.

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  • Mikhail Zhitlukhin, 2018. "Monotone Sharpe ratios and related measures of investment performance," Papers 1809.10193, arXiv.org, revised May 2021.
    • Handle: RePEc:arx:papers:1809.10193
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    6. Mikhail Zhitlukhin, 2016. "A Second-order Monotone Modification of the Sharpe Ratio," World Scientific Book Chapters, in: Masaaki Kijima & Yukio Muromachi & Takashi Shibata (ed.), RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014, chapter 10, pages 217-226, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Righi, Marcelo Brutti, 2024. "Star-shaped acceptability indexes," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 170-181.

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