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Articles by Yoram Kroll

Sortino(γ): A Modified Sortino Ratio With Adjusted Threshold

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By Yoram Kroll, Andrea Marchioni, Ono College, Moshe Ben-Horin
| articlegateway.com
Abstract A portfolio’s Sortino ratio is strongly affected by the risk-free vs. risky assets mix, except for the case where the threshold, T is equal to the risk-free rate. Therefore, if T differs from the risk-free rate, the portfolio’s Sortino ratio could potentially be increased by merely changing the mix of the risk-free and the risky components. The widely used Sharpe ratio, on the other hand, does not share this caveat.
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VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey

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By Yoram Kroll
| mpra.ub.uni-muenchen.de
Ahn, D.H., Boudoukh, J., Richardson, M., and R.F., Whitelaw, "Optimal Risk Management Using Options", J. of Finance, 54(1), February 1999, 359-375. Alexander, J.G., and A.M., Baptista, "Economic Imlications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis", Working paper, University of Minnesota, 2000. Arzac, E., "Utility Analysis of Chance-Constrained Portfolio Section", J. of Financial and Quantitative Analysis, 8, 1974, 993-1007.
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