The Best Gain-Loss Ratio is a Poor Performance Measure

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dc.citation.epage242en_US
dc.citation.issueNumber1en_US
dc.citation.spage228en_US
dc.citation.volumeNumber4en_US
dc.contributor.authorBiagini, S.en_US
dc.contributor.authorPinar, M. Ç.en_US
dc.date.accessioned2015-07-28T12:04:31Z
dc.date.available2015-07-28T12:04:31Z
dc.date.issued2013-03-06en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractThe gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a random endowment is an acceptability index, and we provide its dual representation for general probability spaces. However, the gain-loss ratio was designed for finite Ω and works best in that case. For general Ω and in most continuous time models, the best gain-loss is either infinite or fails to be attained. In addition, it displays an odd behavior due to the scale invariance property, which does not seem desirable in this context. Such weaknesses definitely prove that the (best) gain-loss is a poor performance measure.en_US
dc.identifier.doi10.1137/120866774en_US
dc.identifier.eissn1945-497X
dc.identifier.issn1052-6234
dc.identifier.urihttp://hdl.handle.net/11693/13066
dc.language.isoEnglishen_US
dc.publisherSociety for Industrial and Applied Mathematicsen_US
dc.relation.isversionofhttp://dx.doi.org/10.1137/120866774en_US
dc.source.titleSIAM Journal on Financial Mathematicsen_US
dc.subjectGain-loss Ratioen_US
dc.subjectAcceptability Indexesen_US
dc.subjectIncomplete Marketsen_US
dc.subjectMartingalesen_US
dc.subjectQuasi-concave Optimizationen_US
dc.subjectDuality Methodsen_US
dc.subjectMarket Modified Risk Measuresen_US
dc.titleThe Best Gain-Loss Ratio is a Poor Performance Measureen_US
dc.typeArticleen_US
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