A note on empirical Sharpe ratio dynamics

DOI10.1016/J.ECONLET.2012.02.005zbMATH Open1253.91127OpenAlexW1968520221MaRDI QIDQ1925695FDOQ1925695

Authors Martin Schuster, Benjamin R. Auer

Publication date 18 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.02.005

zbMATH Keywords

Sharpe ratioperformance measurementmanipulationestimator

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

• Comparing large-sample maximum Sharpe ratios and incremental variable testing
• Implications of the Sharpe ratio as a performance measure in multi-period settings
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS

Cited in

(10)

• A robust Sharpe ratio
• Monotone Sharpe ratios and related measures of investment performance
• Computational dynamics of information ratios
• The sampling relationship between Sharpe's performance measure and its risk proxy: sample size, investment horizon and market conditions
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Comparing large-sample maximum Sharpe ratios and incremental variable testing
• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• The premium of dynamic trading in a discrete-time setting
• The large-sample distribution of the maximum Sharpe ratio with and without short sales

This page was built for publication: A note on empirical Sharpe ratio dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1925695)