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

DOI10.1016/j.jedc.2007.06.009zbMath1181.91330OpenAlexW3121757001MaRDI QIDQ844669

Tan Wang, Jakša Cvitanić, Ali Lazrak

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.06.009

zbMATH Keywords

performance measuresSharpe ratiomoney managers

Mathematics Subject Classification ID

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

Related Items

Mean–Variance Optimal Adaptive Execution ⋮ BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO ⋮ Robust optimization of mixed CVaR STARR ratio using copulas ⋮ Continuous time mean–variance–utility portfolio problem and its equilibrium strategy ⋮ Ranking of investment funds: acceptability versus robustness ⋮ Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon ⋮ The premium of dynamic trading in a discrete-time setting ⋮ Robust reward–risk ratio optimization with application in allocation of generation asset ⋮ Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset ⋮ Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences ⋮ QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION ⋮ QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION ⋮ Portfolio theory for squared returns correlated across time ⋮ Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization

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