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A note on empirical Sharpe ratio dynamics
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A note on empirical Sharpe ratio dynamics (2012)A note on empirical Sharpe ratio dynamicsTwo-Moment Decision Models and Expected Utility Maximization (2016)Two-Moment Decision Models an…Sufficient conditions for expected utility to imply drawdown-based performance rankings (2011)Sufficient conditions for exp…Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution (2008)Estimation Risk-Adjusted Shar…Refinements to the Sharpe ratio: Comparing alternatives for bear markets (2006)Refinements to the Sharpe rat…A refinement to the Sharpe ratio and information ratio (2005)A refinement to the Sharpe ra…The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…Sharpening Sharpe Ratios (2002)Sharpening Sharpe RatiosHow to Game Your Sharpe Ratio (2001)How to Game Your Sharpe RatioBeyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (1999)Beyond Mean–Variance: Perform…Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected) (1999)Beyond Mean–Variance: Perform…Sufficient Conditions for Expected Utility to Imply Mean-Standard Deviation Rankings: Empirical Evidence Concerning the Location and Scale Condition (1992)Sufficient Conditions for Exp…Economic Decisions Under Uncertainty (1989)Economic Decisions Under Unce…Sample Size Bias and Sharpe's Performance Measure: A Note (1978)Sample Size Bias and Sharpe's…Mutual Fund Performance (1966)Mutual Fund PerformancePortfolio Performance Manipulation and Manipulation-proof Performance MeasuresPortfolio Performance Manipul…Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)Risk Taking by Mutual Funds as a Response to Incentives (1997)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)Risk Measures for Hedge Funds: a Cross‐sectional Approach (2007)Predicting Hedge Fund Failure: A Comparison of Risk Measures (2008)How to Use Security Analysis to Improve Portfolio Selection (1973)Robust Performance Hypothesis Testing with the Sharpe Ratio (2007)Market Timing with Option-Implied Distributions: A Forward-Looking Approach (2011)An intelligent financial portfolio trading strategy using deep Q-learning (2020)On estimating the expected return on the market (1980)The Econometrics of Financial Markets (1997)High Frequency Trading and the New-Market Makers (2012)The Econometrics of Financial Markets (2012)Can ChatGPT forecast stock price movements? Return predictability and large language models (2026)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Coherent Measures of Risk (1999)A decision-theoretic foundation for reward-to-risk performance measures (2012)Performance hypothesis testing with the Sharpe ratio: The case of hedge funds (2013)On magnitude, asymptotics and duration of drawdowns for Lévy models (2016)Risk Aversion in the Small and in the Large (1964)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Different Approaches to Risk Estimation in Portfolio Theory (2004)Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Risk Aversion in the Small and in the Large (1976)A Nonlinear Factor Analysis of S&P 500 Index Option Returns (2006)Conditional Risk Premia in Currency Markets and Other Asset Classes (2013)Theory of Financial Decision Making. (1988)The Sharpe Ratio (1994)The Price of Correlation Risk: Evidence from Equity Options (2009)Risk Shifting and Mutual Fund Performance (2011)Volatility‐Managed Portfolios (2017)Social Insurance, Incentives and Risk-Taking (1998)Evaluation and Decision Models: a Critical Perspective (2002)Preferences over location-scale family (2007)A Theory of the Welfare State (1994)What You Don't Know About Customer-Perceived Quality: The Role of Customer Expectation Distributions (1999)Ex Post Liability for Harm vs. Ex Ante Safety Regulation: Substitutes or Complements? (2018)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)
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References

  • 1966Mutual Fund Performance3,932 cited
  • 2002The Statistics of Sharpe Ratios842 cited
  • n.d.Portfolio Performance Manipulation and Manipulation-proof Performance Measures644 cited
  • 2016Two-Moment Decision Models and Expected Utility Maximization590 cited
  • 1999Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected)276 cited
  • 1999Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World223 cited
  • 2005A refinement to the Sharpe ratio and information ratio222 cited
  • 2002Sharpening Sharpe Ratios189 cited
  • 1989Economic Decisions Under Uncertainty188 cited
  • 2011Sufficient conditions for expected utility to imply drawdown-based performance rankings99 cited
  • 2001How to Game Your Sharpe Ratio89 cited
  • 1978Sample Size Bias and Sharpe's Performance Measure: A Note73 cited
  • 2006Refinements to the Sharpe ratio: Comparing alternatives for bear markets62 cited
  • 1992Sufficient Conditions for Expected Utility to Imply Mean-Standard Deviation Rankings: Empirical Evidence Concerning the Location and Scale Condition55 cited
  • 2008Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution

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