Farinelli and Tibiletti ratio and stochastic dominance
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,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Palgrave Macmillan Ltd.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |