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ArticleA note on empirical Sharpe ratio dynamics

Martín Schuster2012

Article2012

A note on empirical Sharpe ratio dynamics

Martín Schuster · Benjamin Rainer Auer

20 citations·0/0 files stored·Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1966Mutual Fund Performance 2002The Statistics of Sharpe Ratios n.d.Portfolio Performance Manipulation and Manipulation-proof Performance Measures 2016Two-Moment Decision Models and Expected Utility Maximization 1999Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected)1999Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World 2005A refinement to the Sharpe ratio and information ratio 2002Sharpening Sharpe Ratios

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Year2012

Typearticle

Published2012-02-10

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations20

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.econlet.2012.02.005

openalex_workW1968520221

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