A robust Sharpe ratio (Q2061748)
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scientific article; zbMATH DE number 7450080
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A robust Sharpe ratio |
scientific article; zbMATH DE number 7450080 |
Statements
A robust Sharpe ratio (English)
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21 December 2021
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Cauchy distribution
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mixture normal distribution
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lognormal distribution
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outliers
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stock market returns
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0.8243855
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0.8087955
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0.8086576
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0.79676825
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0.7955645
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0.7951952
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