Farinelli, Simone; Ferreira, Manuel; Rossello, Damiano; … - In: European Journal of Operational Research 192 (2009) 1, pp. 209-215
Optimal asset allocation well-fitting investors' goals is a pressing challenge in risk management. Making a step forward to the Sharpe ratio, the parameter-dependent Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti performance ratios are suggested for personalizing asset allocation....
