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CCF 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