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Sharpening Sharpe Ratios
9 references·16 citing·46 second hop
Sharpening Sharpe Ratios (2002)Sharpening Sharpe RatiosCharacteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingVolatility Timing in Mutual Funds: Evidence from Daily Returns (1999)Volatility Timing in Mutual F…Risk-Adjusted Performance (1997)Risk-Adjusted PerformanceRisk Taking by Mutual Funds as a Response to Incentives (1997)Risk Taking by Mutual Funds a…Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)Of Tournaments and Temptation…Mean-Variance Theory in Complete Markets (1982)Mean-Variance Theory in Compl…On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Mutual Fund Performance (1966)Mutual Fund PerformanceOption-Implied Correlations and the Price of Correlation Risk (2020)Option-Implied Correlations a…Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities (2015)Revisiting the Risk-Neutral A…Volatility transmission in regional Asian stock markets (2013)Volatility transmission in re…Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013)Selection of a Portfolio of P…Volatility Exposure for Strategic Asset Allocation (2010)Volatility Exposure for Strat…Assessing and valuing the nonlinear structure of hedge fund returns (2010)Assessing and valuing the non…Predicting Hedge Fund Failure: A Comparison of Risk Measures (2008)Predicting Hedge Fund Failure…Risk Measures for Hedge Funds: a Cross‐sectional Approach (2007)Risk Measures for Hedge Funds…An Empirical Portfolio Perspective on Option Pricing Anomalies (2007)An Empirical Portfolio Perspe…Fund Families as Delegated Monitors of Money Managers (2005)Fund Families as Delegated Mo…Variance Risk Premia (2004)Variance Risk PremiaInterpreting the Sharpe ratio when excess returns are negative (2004)Interpreting the Sharpe ratio…The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)The Stochastic Programming Ap…Flows, Performance, and Managerial Incentives in Hedge Funds (2003)Flows, Performance, and Manag…Fees on Fees in Funds of Funds (2003)Fees on Fees in Funds of FundsAn Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns (2003)An Econometric Model of Seria…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Coherent Measures of Risk (1999)Tail risk in hedge funds: A unique view from portfolio holdings (2017)Downside risk and the cross-section of cryptocurrency returns (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Another Look at Mutual Fund Tournaments (2001)Do Market Timing Hedge Funds Time the Market? (2007)Can hedge funds time market liquidity? (2013)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)A contingent claim approach to performance evaluation (1994)Yield Spreads as Alternative Risk Factors for Size and Book-to-Market (2006)The effect of bonus schemes on accounting decisions (1985)Aggregation and Linearity in the Provision of Intertemporal Incentives (1987)Managerial Incentive Problems: A Dynamic Perspective (1999)The Geography of Investment: Informed Trading and Asset Prices (2001)Mutual Fund Flows and Performance in Rational Markets (2004)Asset Fire Sales (and Purchases) in Equity Markets (2005)Theory of Rational Option Pricing (1973)Prospect theory: An analysis of decision under risk (1988)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Does the choice of performance measure influence the evaluation of hedge funds? (2007)No-dynamic-arbitrage and market impact (2010)Rank-Order Tournaments as Optimum Labor Contracts (1979)Rank-Order Tournaments as Optimum Labor Contracts (1981)Prizes and Incentives in Elimination Tournaments (1985)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresThe Limits of Arbitrage (1995)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆ (2007)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs (2006)Investigation of performance of Malaysian Islamic unit trust funds (2007)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)
this work references cited by second hop

References

  • 1966Mutual Fund Performance3,932 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 1996Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry1,491 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 1997Risk-Adjusted Performance581 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 1999Volatility Timing in Mutual Funds: Evidence from Daily Returns389 cited
  • 1982Mean-Variance Theory in Complete Markets256 cited

Cited by

  • 2007Risk Measures for Hedge Funds: a Cross‐sectional Approach164 cited
  • 2003The Stochastic Programming Approach to Asset, Liability, and Wealth Management155 cited
  • 2008Predicting Hedge Fund Failure: A Comparison of Risk Measures144 cited
  • 2003Flows, Performance, and Managerial Incentives in Hedge Funds144 cited
  • 2004Variance Risk Premia138 cited
  • 2007An Empirical Portfolio Perspective on Option Pricing Anomalies136 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2003Fees on Fees in Funds of Funds135 cited
  • 2010Assessing and valuing the nonlinear structure of hedge fund returns92 cited
  • 2005Fund Families as Delegated Monitors of Money Managers81 cited
  • 2013Volatility transmission in regional Asian stock markets77 cited
  • 2013Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy69 cited
  • 2015Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities65 cited
  • 2003An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns57 cited
  • 2020Option-Implied Correlations and the Price of Correlation Risk56 cited
  • 2004Interpreting the Sharpe ratio when excess returns are negative53 cited
  • 2010Volatility Exposure for Strategic Asset Allocation52 cited