 |
The open archive HAL of Paris 1 Panthéon-Sorbonne university |
Journal articles
On the maximization of financial performance measures within mixture models
Abstract : We introduce mixtures of probability distributions to model empirical distributions of financial asset returns. In this framework, we examine the problem of maximizing performance measures. For this purpose, we consider a large class of reward/risk ratios such as the Kappa measures and in particular the Omega ratio. This latter measure is associated to a downside risk measure based on a put component. All these measures can take account of the asymmetry of the probability distribution, which is important when dealing with mixture of distributions. We examine first a fundamental example: the ranking and maximization of Gaussian mixture distributions, according to the Omega performance measure. Then we provide a general result for the maximization of mixture distributions with respect to a very large family of performance measures, including Kappa measures.
https://hal-paris1.archives-ouvertes.fr/hal-00608960
Contributor : Rania Hentati Kaffel Connect in order to contact the contributor
Submitted on : Saturday, July 16, 2011 - 1:33:17 PM
Last modification on : Tuesday, October 19, 2021 - 11:33:18 PM
Contributor : Rania Hentati Kaffel Connect in order to contact the contributor
Submitted on : Saturday, July 16, 2011 - 1:33:17 PM
Last modification on : Tuesday, October 19, 2021 - 11:33:18 PM