Optimal asset allocation aid system: From "one-size" vs "tailor-made" performance ratio

Optimal asset allocation well-fitting the investors goals is a pressing challenge in risk management. In spite of Sharpe ratio, Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti ratios are new parameter-dependent performance ratios able to suit the investor risk profile. Five investor prototypes are studied and fifteen tailormade optimal asset paths are traced over a rolling twelve month investing horizon. For almost all investor prototypes, simulations proved superiority of personalized ratios respect to Sharpe ratio in guiding to higher performance. Ex-post controlling on compatibility of optimal asset strategies with ex-ante investor risk profiles have done satisfactorily results. JEL Subject Classification: C8, G0, G1, G8