A note on empirical Sharpe ratio dynamics

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

Benjamin R. Auer, Martin Schuster

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

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

zbMATH Keywords

Sharpe ratioperformance measurementmanipulationestimator

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)

Cited In (8)

• Monotone Sharpe ratios and related measures of investment performance
• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• The premium of dynamic trading in a discrete-time setting
• A robust Sharpe ratio
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Computational dynamics of information ratios
• Implications of the Sharpe ratio as a performance measure in multi-period settings
• 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)