Risk–Reward Ratio Optimisation (Revisited)

Gilli, Manfred and Schumann, Enrico. (2021) Risk–Reward Ratio Optimisation (Revisited). In: Dynamic Analysis in Complex Economic Environments: Essays in Honor of Christophe Deissenberg. Springer Nature Switzerland AG, pp. 29-57.

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We study the empirical performance of alternative risk and reward specifications in portfolio selection. In particular, we look at models that take into account asymmetry of returns, and treat losses and gains differently. In tests on a dataset of German equities, we find that portfolios constructed with the help of such models generally outperform the market index and in many cases also the risk-based benchmark (minimum variance). In part, higher returns can be explained by exposure to factors such as momentum and value. Nevertheless, a substantial part of the performance cannot be explained by standard asset-pricing models.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Computational Economics and Finance (Maringer)
UniBasel Contributors:Schumann, Enrico
Item Type:Book Section
Book Section Subtype:Further Contribution in a Book
Series Name:Dynamic Modeling and Econometrics in Economics and Finance
Issue Number:26
Note:Publication type according to Uni Basel Research Database: Book item
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Last Modified:25 Apr 2022 06:48
Deposited On:25 Apr 2022 06:48

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