A note on empirical Sharpe ratio dynamics

DOI10.1016/J.ECONLET.2012.02.005zbMath1253.91127OpenAlexW1968520221MaRDI QIDQ1925695

Benjamin R. Auer, Martin Schuster

Publication date: 18 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.02.005

zbMATH Keywords

estimatorperformance measurementSharpe ratiomanipulation

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (3)

The premium of dynamic trading in a discrete-time setting ⋮ Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset ⋮ Computational dynamics of information ratios

Cites Work

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