The present contribution deals with a consistent and general foundation of target-based risk-adjusted performance measures. First of all measures of shortfall risk and upside reward are introduced to establish a basis for discussing the corresponding risk-adjusted performance measures afterwards. Thereby the authors concentrate on Omega- and Psi-Performance Measures. They present their most important properties and their connection with other risk-adjusted performance measures like the (Generalized) Downside Performance Ratio, the Upside Potential Ratio or the Sortino-Ratio. Finally first and second order Omega- and Psi-Performance Measures are derived for the normal distribution, the lognormal distribution and the Weibull distribution.
Dieser Eintrag ist Teil der Universitätsbibliographie.
Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.
![[img]](https://madoc.bib.uni-mannheim.de/style/images/fileicons/application_pdf.png)
Suche Autoren in