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Bias and consistency of the maximum Sharpe ratio

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
1994The Sharpe Ratio2,542 cited
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1992Portfolio Optimization in Practice227 cited
2001Optimal Portfolios with Bounded Capital at Risk119 cited
1978Sample Size Bias and Sharpe's Performance Measure: A Note73 cited

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2008ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES

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