Now showing items 1-2 of 2

    • Effective return, risk aversion and drawdowns 

      Dacorogna, M. M.; Gençay, R.; Müller, U. A.; Pictet, O. V. (Elsevier BV, 2001)
      We derive two risk-adjusted performance measures for investors with risk averse preferences. Maximizing these measures is equivalent to maximizing the expected utility of an investor. The first measure, Xeff, is derived ...
    • Robust profit opportunities in risky financial portfolios 

      Pınar, M. Ç.; Tütüncü, R. H. (Elsevier, 2005)
      For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single- and multiple-period settings. We show that the problem of finding the ...