Original paper
Farinelli and Tibiletti ratio and stochastic dominance
Abstract
Farinelli and Tibiletti (F–T) ratio, a general risk-reward performance measurement ratio, is popular due to its simplicity and yet generality that both Omega ratio and upside potential ratio are its special cases. The F–T ratios are ratios of average gains to average losses with respect to a target, each raised by a power index, p and q. In this paper, we establish the consistency of F–T ratios with any nonnegative values p and q with respect to...
Paper Details
Title
Farinelli and Tibiletti ratio and stochastic dominance
Published Date
Feb 20, 2019
Journal
Volume
21
Issue
3
Pages
201 - 213
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Notes
History