Computational dynamics of information ratios

DOI10.1016/J.ECONLET.2024.111611MaRDI QIDQ6498759zbMATH OpenFDO

Authors Benjamin R. Auer, Marcel Marohn

Publication date 7 May 2024

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2024.111611

zbMATH Keywords

information ratiooutlier sensitivityperformance measurementregression

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A note on empirical Sharpe ratio dynamics
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