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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- Title: MoneyScience: MoneyScience's news channel - arXiv > Recent Papers in Quant Finance
- Channel Number: 67802952
- Language: English
- Registered On: August 11, 2016, 5:12 am
- Number of Articles: 2696
- Latest Snapshot: September 23, 2019, 8:53 pm
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