Monotone Sharpe ratios and related measures of investment performance
Mikhail Zhitlukhin
TL;DR
This paper introduces the monotone Sharpe ratio, a new investment performance measure, explores its properties, links it to coherent risk measures, and provides an efficient way to apply it.
Contribution
The paper presents the monotone Sharpe ratio, a novel performance measure, along with its theoretical properties and practical representation, connecting it to coherent risk measures.
Findings
The monotone Sharpe ratio has desirable theoretical properties.
It is connected to coherent risk measures.
An efficient representation for applications is established.
Abstract
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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Taxonomy
TopicsRisk and Portfolio Optimization · Stochastic processes and financial applications · Financial Markets and Investment Strategies