Ranking Investment Opportunities Across Risk-Aversion Levels: Application to Islamic and Conventional Indices
We introduce the Reward–VaR curve, a novel framework for evaluating risk-adjusted investment performance across a range of investor risk preferences. When returns are normally distributed, the Reward–VaR curve yields the same asset ranking as the Sharpe ratio. However, when the third-order modified...
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| Format: | article |
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2025
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| Online Access: | https://hdl.handle.net/11073/33300 |
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