Zakamouline, V. and Koekebakker, S. (2009) Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance. Journal of Banking and Finance, 33, 1242-1254.
http://dx.doi.org/10.1016/j.jbankfin.2009.01.005

has been cited by the following article:

• TITLE: Equivalent Risky Allocation: The New ERA of Risk Measurement for Heterogeneous Investors

  AUTHORS: Séverine Plunus, Roland Gillet, Georges Hübner

  KEYWORDS: Utility Function, Risk Perception, Risk Aversion, Portfolio Allocation, Risk Profile

  JOURNAL NAME: American Journal of Industrial and Business Management, Vol.5 No.6, June 9, 2015

  ABSTRACT: This paper introduces an investor-specific risk measure derived from the linear-exponential (linex) utility function. It combines the notions of risk perception and risk aversion. To make this measure interpretable and comparable with others like variance or value-at-risk, it is translated into an Equivalent Risky Allocation (ERA), where the risk value is matched with the one of a selected benchmark. We demonstrate that portfolio allocations are sensitive to risk perception. The linex risk measure provides more stable allocations and is closer to the target risk profile than the variance, while it provides better consistency of risk exposures over time than the value-at-risk.