Implications of the Sharpe ratio as a performance measure in multi-period settings

DOI10.1016/J.JEDC.2007.06.009MaRDI QIDQ844669zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Sharpe ratioperformance measuresmoney managers

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 2119185 (Why is no real title available?)
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time portfolio optimization under terminal wealth constraints
• Dynamic asset allocation in a mean-variance framework
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimum consumption and portfolio rules in a continuous-time model
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
• Termination Risk, Multiple Managers and Mutual Fund Tournaments

Cited in

(21)

• A note on empirical Sharpe ratio dynamics
• Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
• The effects of the sample size, the investment horizon and the market conditions on the validity of composite performance measures: a generalization
• Monotone Sharpe ratios and related measures of investment performance
• A note on bivariate dual generalized Marshall-Olkin distributions with applications
• BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
• Computational dynamics of information ratios
• Robust optimization of mixed CVaR STARR ratio using copulas
• Robust reward–risk ratio optimization with application in allocation of generation asset
• Equilibrium strategies for alpha-maxmin expected utility maximization
• Sharper asset ranking from total drawdown durations
• The sampling relationship between Sharpe's performance measure and its risk proxy: sample size, investment horizon and market conditions
• Portfolio theory for squared returns correlated across time
• Equilibrium strategies for the mean-variance investment problem over a random horizon
• Quantifying the impact of partial information on Sharpe ratio optimization
• Ranking of investment funds: acceptability versus robustness
• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• The premium of dynamic trading in a discrete-time setting
• Mean-variance optimal adaptive execution
• Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
• The strategy approval decision: a Sharpe ratio indifference curve approach

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