THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
From MaRDI portal
Publication:4551761
DOI10.1017/S1365100502031036zbMath1005.91035OpenAlexW2111446547MaRDI QIDQ4551761
Harald F. Uhlig, Martin Lettau
Publication date: 28 August 2002
Published in: Macroeconomic Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1365100502031036
Related Items (7)
BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO ⋮ Asset pricing with loss aversion ⋮ Habit formation and the equity-premium puzzle: a skeptical view ⋮ IDIOSYNCRATIC SHOCKS AND ASSET RETURNS IN THE REAL-BUSINESS-CYCLE MODEL: AN APPROXIMATE ANALYTICAL APPROACH ⋮ A MODEL OF NEAR-RATIONAL EXUBERANCE ⋮ A new methodology for studying the equity premium ⋮ COLLATERAL REQUIREMENTS AND ASSET PRICES
This page was built for publication: THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH