Monotone Sharpe ratios and related measures of investment performance

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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Bibliographic Details
Published in:arXiv.org 2021-05
Main Author: Zhitlukhin, Mikhail
Format: Article
Language:English
Subjects:
Investment strategy
Portfolio management
Online Access:Get full text
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Description
Summary: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.
ISSN:2331-8422