A variational derivation of risk-adjusted performance measures

被引：0
|
作者：
Xiang, George [1 ]
Liu, Jiangyang [2 ]
Wang, Qi [3 ,4 ,5 ]
机构：
[1] State St Global Advisors, Boston, MA 02111 USA
[2] Florida State Univ, Dept Math, Tallahassee, FL 32306 USA
[3] Univ S Carolina, Dept Math, Columbia, SC 29208 USA
[4] Univ S Carolina, Interdisciplinary Math Inst, Columbia, SC 29208 USA
[5] Nankai Univ, Sch Math, Tianjin 300071, Peoples R China
来源：
JOURNAL OF RISK | 2012年 / 15卷 / 02期
关键词：
D O I：
10.21314/JOR.2012.257
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：45 / 58
页数：14
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