Implications of the Sharpe ratio as a performance measure in multi-period settings
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Publication:844669
DOI10.1016/J.JEDC.2007.06.009zbMATH Open1181.91330OpenAlexW3121757001MaRDI QIDQ844669FDOQ844669
Authors: Jakša Cvitanić, Ali Lazrak, Tan Wang 
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.06.009
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- Consumption and Portfolio Decisions when Expected Returns are Time Varying
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- Dynamic asset allocation in a mean-variance framework
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Cited In (18)
- Monotone Sharpe ratios and related measures of investment performance
- Robust optimization of mixed CVaR STARR ratio using copulas
- Robust reward–risk ratio optimization with application in allocation of generation asset
- Mean-variance optimal adaptive execution
- BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
- Continuous time mean–variance–utility portfolio problem and its equilibrium strategy
- Quantifying the impact of partial information on Sharpe ratio optimization
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- Ranking of investment funds: acceptability versus robustness
- Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
- The strategy approval decision: a Sharpe ratio indifference curve approach
- The premium of dynamic trading in a discrete-time setting
- A note on empirical Sharpe ratio dynamics
- Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
- A note on bivariate dual generalized Marshall-Olkin distributions with applications
- Sharper asset ranking from total drawdown durations
- Portfolio theory for squared returns correlated across time
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
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