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A decision-theoretic foundation for reward-to-risk performance measures
Schuhmacher, Frank; Eling, Martin - In: Journal of banking & finance 36 (2012) 7, pp. 2077-2082
Persistent link: https://www.econbiz.de/10009629683
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Sufficient Conditions for Expected Utility to Imply Drawdown-Based Performance Rankings
Schuhmacher, Frank - 2013
The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is the location and scale (LS) condition (see Meyer, 1987). The LS condition includes the normal and many other (asymmetric and leptokurtic) distributions commonly used in finance. In this paper we...
Persistent link: https://www.econbiz.de/10013095351
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Proper rationalizability and backward induction
Schuhmacher, Frank - In: International journal of game theory : official journal … 28 (1999) 4, pp. 599-615
Persistent link: https://www.econbiz.de/10001434024
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Portfolioselektion unter Berücksichtigung des geometrischen Mittels
Schuhmacher, Frank - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 27 (1998) 6, pp. 315-318
Persistent link: https://www.econbiz.de/10001240439
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Wertpapier-Hedge-Fonds aus Sicht der Prinzipal-Agenten-Theorie
Schuhmacher, Frank - In: Sparkasse : Manager-Magazin für die Sparkassen-Finanzgruppe 118 (2001) 6, pp. 278-282
Persistent link: https://www.econbiz.de/10001609289
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Das Cournot-Modell als Kapazitäts-Preis-Ansatz
Schuhmacher, Frank - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 31 (2002) 6, pp. 328-333
Persistent link: https://www.econbiz.de/10001669383
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Allfinanz oder financial Services? : aktuelle Trends im Finanzdienstleistungs-Bereich
Bernet, Beat (ed.); Haller, Matthias (contributor);  … - 1999
Persistent link: https://www.econbiz.de/10000672614
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Risikoanalysen und Risikobeurteilungen mit einem Matrixverfahren : zusammenfassende Interpretation von Daten
Bützer, Peter - 1992
Persistent link: https://www.econbiz.de/10000893080
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Fitting asset returns to skewed distributions : are the skew-normal and skew-student good models?
Eling, Martin - In: Insurance / Mathematics & economics 59 (2014), pp. 45-56
Persistent link: https://www.econbiz.de/10010469187
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Hedgefonds-Strategien und ihre Performance
Eling, Martin - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003280488