Results 111 to 120 of about 14,985 (130)

Higher co-moments and adjusted Sharpe ratios for cryptocurrencies

Finance Research Letters, 2021
Bálint Zsolt Nagy, Botond Benedek
exaly  

Parameter-free robust optimization for the maximum-Sharpe portfolio problem

European Journal of Operational Research, 2021
Deepayan Chakrabarti
exaly  

A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks

Journal of Banking and Finance, 2021
Daniel Rösch
exaly  

Sharpe thinking in asset ranking with one-sided measures

European Journal of Operational Research, 2008
Simone Farinelli, Luisa Tibiletti
exaly  

Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios

Journal of Asset Management, 2013
Geng Deng
exaly  

Robust performance hypothesis testing with the Sharpe ratio

Journal of Empirical Finance, 2008
Olivier Ledoit, Michael Wolf
exaly  

The Statistics of Sharpe Ratios

Financial Analysts Journal, 2002
Andrew W Lo
exaly  

Stock performance by utility indifference pricing and the Sharpe ratio

Quantitative Finance, 2019
Jiro Hodoshima
exaly  

Refinements to the Sharpe ratio: Comparing alternatives for bear markets

Journal of Asset Management, 2006
Hendrik Scholz
exaly  

A Portfolio of Nobel Laureates: Markowitz, Miller and Sharpe

Journal of Economic Perspectives, 1993
Hal Varian
exaly