The article presents an analysis and survey regarding the validity of VaR risk measures in comparison to traditional risk measures. Individuals are assumed to either maximize their expected utility or possess a lexicographic utility function. The analysis is carried out for generally distributed...

A portfolio’s Sortino ratio is strongly affected by the risk-free vs. risky assets mix, except for the case where the threshold, T is equal to the risk-free rate. Therefore, if T differs from the risk-free rate, the portfolio’s Sortino ratio could potentially be increased by merely changing...