Graduate Students
 Faculty in  Mathematical  Finance            
Math Finance Home Conferences Seminars People Open Positions Contact

Probability and Computational Finance Seminar
Mikhail Zhitlukhin
Steklov Mathematical Institute and High School of Economics, Moscow
Title: Monotone reward-to-variability ratios

Abstract: The goal of the talk is to generalize the Sharpe ratio (expected excess return divided by its standard deviation) and to define a family of investment performance measures based on the ratio of two functionals, a concave functional of reward and a convex functional of variability. However, such a ratio is typically not monotone: a "better" investment strategy may have a lower performance; in particular, it is well-known that the Sharpe ratio is not monotone. It will shown how to modify a reward-to-variability ratio so that it becomes a monotone functional. Then the main result of the talk will present a theorem about a dual representation for this family of performance measures, which allows to evaluate them numerically in a tractable way.

Date: Monday, March 2, 2015
Time: 4:30 pm
Location: Wean Hall 6423
Submitted by:  Dmitry Kramkov