In this paper, we generalize the notion of the performance measure by using a variety of coherent risk measures. We prove that these classes of coherent risk measures assure the properties of the acceptability in- dexes. In separate sections classes associated to Expected Shortfall and Shortfall Risk are examined both with their sensitivity, and also the general static optimization problem of these ratios is studied.
Generalized Performance Ratios and Risk Optimization
TIBILETTI, Luisa;
2016-01-01
Abstract
In this paper, we generalize the notion of the performance measure by using a variety of coherent risk measures. We prove that these classes of coherent risk measures assure the properties of the acceptability in- dexes. In separate sections classes associated to Expected Shortfall and Shortfall Risk are examined both with their sensitivity, and also the general static optimization problem of these ratios is studied.
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