This work is licensed under a
Creative Commons Attribution 4.0 International License
[1] P. Artzner, F. Delbaen, J.M. Eber, D. Heath, Coherent Measures of Risk, Mathematical Finance, 9, 203-228 (1999).
DOI: https://doi.org/10.1111/1467-9965.00068[2] H.M. Markowitz, Portfolio Selection, Journal of Finance, 7(1), 77–91 (1952).
[3] L. Martinelli, K. Simsek, F. Goltz, Structured forms of investment strategies in institutional investors' portfolios, EDHEC Risk and Asset Management Research Centre, April (2005).
[4] R.T. Rockafellar, S. Uryasev, Optimization of Conditional Value-at-Risk, Journal of Risk, 2, 21-41 (2000).
[5] R.T. Rockafellar, S. Uryasev, Conditional Value-at-Risk for General Loss Distributions, Research Report 2001-5, ISE Dept., University of Florida, April, (2001).
[6] Sharpe, William F., The Sharpe Ratio, Journal of Portfolio Management, Fall, 49–58 (1994).
[1] G. Frahm, F. Huber, "The Outperformance Probability of Mutual Funds", Journal of Risk and Financial Management, Vol. 12, p. 108, 2019
DOI: https://doi.org/10.3390/jrfm12030108