BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
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Publication:5889362
DOI10.1142/S0219024923500024OpenAlexW4319263662MaRDI QIDQ5889362FDOQ5889362
Authors: Jiang Ye, YiWei Wang 
Publication date: 20 April 2023
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024923500024
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Cites Work
- Implications of the Sharpe ratio as a performance measure in multi-period settings
- Theory of games and economic behavior.
- The mathematics of arbitrage
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Safety First and the Holding of Assets
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Rationalizing investors' choices
- THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Optimal strategies under omega ratio
- Dynamic mean-VaR portfolio selection in continuous time
- Optimal portfolio under state-dependent expected utility
- Dynamic portfolio choice when risk is measured by weighted VaR
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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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