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Analysis of Ranking Factors for a Risk Averse Investor in a Non-Gaussian World
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Analysis of Ranking Factors for a Risk Averse Investor in a Non-Gaussian World
Author: Massimo Di Pierro, Ph.D., Jack Mosevich, Ph.D.
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In this paper the authors discuss the relations between measures of risk, utility functions, and ranking factors for portfolio selection. They prove an exact equivalence between Sharpe, Sortino, Omega, Kappa, and Stutzer rankings in the case of Gaussian distributions.
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