34 citations · 79 across the 11 of their papers we have counts for
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q-fin.PM2015★ 1 cited
The Robust Merton Problem of an Ambiguity Averse Investor
Sara Biagini, Mustafa Pinar
We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confide…
q-fin.PM2012
Dynamic quasi-concave performance measures
Sara Biagini, Jocelyne Bion-Nadal
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide va…
q-fin.PM2012
The best gain-loss ratio is a poor performance measure
Sara Biagini, Mustafa Pinar
The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a rand…