TY - JOUR T1 - Different Approaches to Risk Estimation in Portfolio Theory JF - The Journal of Portfolio Management SP - 103 LP - 112 DO - 10.3905/jpm.2004.443328 VL - 31 IS - 1 AU - Almira Biglova AU - Sergio Ortobelli AU - Svetlozar T Rachev AU - Stoyan Stoyanov Y1 - 2004/10/31 UR - https://pm-research.com/content/31/1/103.abstract N2 - Some new performance measures may be regarded as alternatives to the most popular criterion for portfolio optimization, the Sharpe ratio. Analysis of some allocation problems here takes into consideration portfolio selection models based on different risk perceptions and sample paths of the final wealth process for each allocation problem. One new performance ratio seems to be suitable for some optimization problems, but we need a thorough classification of the set of performance measures that would be ideal for large classes of financial optimization problems. ER -