An Asset Allocation Model Based on a Semi Variance Adjusted Sharpe Ratio

Riccardo Bramante, G. Gabbi

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

Abstract

Risk estimation is crucial in investment decisions. Several risk measures have been suggested to take into consideration that risk changes through time. The choice of different risk measures can considerably change asset allocation decisions in the way in which assets are ranked on the basis of their risk-return profile. This paper is concerned with how to construct optimal portfolios that adapt quickly to changes in risk using a time varying asset allocation model based on a modified Sharpe Ratio measure.
Lingua originaleEnglish
pagine (da-a)1-11
Numero di pagine11
RivistaSSRN Electronic Journal
DOI
Stato di pubblicazionePubblicato - 2009

Keywords

  • Adjusted Sharpe Ratio
  • Asset Allocation

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