Schuhmacher, Frank; Eling, Martin - In: Journal of Banking & Finance 36 (2012) 7, pp. 2077-2082
In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, upside-potential ratio, Sortino–Satchell ratio, Farinelli–Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio, Rachev ratio, generalized Rachev ratio), and other...
