BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
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Publication:5889362
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Cites work
- scientific article; zbMATH DE number 2085233 (Why is no real title available?)
- scientific article; zbMATH DE number 2087703 (Why is no real title available?)
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Dynamic mean-VaR portfolio selection in continuous time
- Dynamic portfolio choice when risk is measured by weighted VaR
- Implications of the Sharpe ratio as a performance measure in multi-period settings
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Optimal portfolio under state-dependent expected utility
- Optimal strategies under omega ratio
- Rationalizing investors' choices
- Safety First and the Holding of Assets
- THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
- The mathematics of arbitrage
- Theory of games and economic behavior.
Cited in
(6)- Optimal strategies under omega ratio
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- The strategy approval decision: a Sharpe ratio indifference curve approach
- A robust Sharpe ratio
- Asymptotic minimaxity of the ratio strategy
- The large-sample distribution of the maximum Sharpe ratio with and without short sales
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