Coherent portfolio performance ratios
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DOI: 10.1080/14697688.2020.1869293
Abstract: In Quantitative Finance 2016, Chen, Hu and Lin (CHL) claimed the following: ‘ … there is yet no coherent risk measure related to investment performance.’ (p. 682). Our paper suggests and analyzes four coherence axioms that portfolio… read more here.
Keywords: risk free; performance ratios; portfolio; finance ... See more keywords