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Identifying the fair value of Sharpe ratio by an option valuation approach
Quarterly Review of Economics and Finance, 2021Jin-Ray Lu
exaly
A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Journal of Banking and Finance, 2021Daniel Rösch
exaly
Robust portfolio optimization with Value-at-Risk-adjusted Sharpe ratios
Journal of Asset Management, 2013Geng Deng
exaly
Refinements to the Sharpe ratio: Comparing alternatives for bear markets
Journal of Asset Management, 2006Hendrik Scholz
exaly

