The Generalized Treynor Ratio

DOI10.1007/S10679-005-2265-XzbMATH Open1126.91039OpenAlexW1985023343MaRDI QIDQ3374859FDOQ3374859

Authors: Georges Hübner 

Publication date: 23 February 2006

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10679-005-2265-x

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zbMATH Keywords

numerical simulationsmultiple indexes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (5)

• When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio -- a comment
• A new financial risk ratio
• Upside beta ratio: a performance measure for potential-seeking investors
• Computational dynamics of information ratios
• The effects of the sample size, the investment horizon and the market conditions on the validity of composite performance measures: a generalization

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