On maximization of the expectation-to-deviation ratio of a random variable
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Tome 72 (2017) no. 4, pp. 765-766 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

@article{RM_2017_72_4_a4,
     author = {M. V. Zhitlukhin},
     title = {On maximization of the expectation-to-deviation ratio of a~random variable},
     journal = {Trudy Matematicheskogo Instituta imeni V.A. Steklova},
     pages = {765--766},
     year = {2017},
     volume = {72},
     number = {4},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/RM_2017_72_4_a4/}
}
TY  - JOUR
AU  - M. V. Zhitlukhin
TI  - On maximization of the expectation-to-deviation ratio of a random variable
JO  - Trudy Matematicheskogo Instituta imeni V.A. Steklova
PY  - 2017
SP  - 765
EP  - 766
VL  - 72
IS  - 4
UR  - http://geodesic.mathdoc.fr/item/RM_2017_72_4_a4/
LA  - en
ID  - RM_2017_72_4_a4
ER  - 
%0 Journal Article
%A M. V. Zhitlukhin
%T On maximization of the expectation-to-deviation ratio of a random variable
%J Trudy Matematicheskogo Instituta imeni V.A. Steklova
%D 2017
%P 765-766
%V 72
%N 4
%U http://geodesic.mathdoc.fr/item/RM_2017_72_4_a4/
%G en
%F RM_2017_72_4_a4
M. V. Zhitlukhin. On maximization of the expectation-to-deviation ratio of a random variable. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Tome 72 (2017) no. 4, pp. 765-766. http://geodesic.mathdoc.fr/item/RM_2017_72_4_a4/

[1] P. Artzner, F. Delbaen, J.-M. Eber, D. Heath, “Coherent measures of risk”, Math. Finance, 9:3 (1999), 203–228 | DOI | MR | Zbl

[2] P. Cheredito, T. Li, “Risk measures on Orlicz hearts”, Math. Finance, 19:2 (2009), 189–214 | DOI | MR | Zbl

[3] H. Föllmer, A. Schied, Stochastic finance. An introduction in discrete time, 3rd rev. and ext. ed., Walter de Gruyter Co., Berlin, 2011, xii+544 pp. | DOI | MR | Zbl

[4] A. Mafusalov, S. Uryasev, Buffered probability of exceedance: mathematical properties and optimization algorithms, Research report 2014-1, ISE Dept., Univ. of Florida, Gainesville, FL, 2014, 18 pp.; http://www.ise.ufl.edu/uryasev/publications/

[5] S. Peng, Nonlinear expectations and stochastic calculus under uncertainty, 2010, 149 pp., arXiv: 1002.4546

[6] W. F. Sharpe, “Mutual fund performance”, J. Business, 39:1 (1966), 119–138 | DOI

[7] W. F. Sharpe, “The Sharpe ratio”, J. Portfolio Management, 21:1 (1994), 49–58 | DOI

[8] M. Zhitlukhin, “A second-order monotone modification of the Sharpe ratio”, Recent advances in financial engineering 2014, Proceedings of the TMU finance workshop 2014, World Sci. Publ., Singapore, 2016, 217–226 | DOI