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A note on trader Sharpe Ratios. [PDF]
PLoS ONE, 2009 Traders in the financial world are assessed by the amount of money they make and, increasingly, by the amount of money they make per unit of risk taken, a measure known as the Sharpe Ratio.
John M Coates, Lionel Page
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A Sharpe-ratio-based measure for currencies [PDF]
European Journal of Government and Economics, 2015 The Sharpe Ratio offers an excellent summary of the excess return required per unit of risk invested. This work presents an adaptation of the ex-ante Sharpe Ratio for currencies where we consider a random walk approach for the currency behavior and ...
Javier Prado-Dominguez +1 more
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An Intersection–Union Test for the Sharpe Ratio [PDF]
Risks, 2018 An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy.
Gabriel Frahm
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The implied Sharpe ratio [PDF]
Quantitative Finance, 2020 22 pages, 6 ...
Ankush Agarwal, Matthew Lorig
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Some Results on Bivariate Squared Maximum Sharpe Ratio
RisksThe Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets.
Ali Dolati +2 more
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STATISTICAL ANALYSIS OF SHARPE RATIO OF THE SHARPE RATIO OPTIMAL PORTFOLIO
Visnyk Lvivskogo Universytetu Seriya Mekhaniko-Matematychna, 2023 Summary: The paper is dedicated to statistical analysis of a sample estimator of the Sharpe ratio of the Sharpe ratio optimal portfolio. Assuming that the vector of portfolio asset returns is multivariate normally distributed the asymptotic distribution of the Sharpe ratio sample estimator is found.
Zabolots'kyĭ, Mykola +2 more
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Re-Evaluating Sharpe Ratio in Hedge Fund Performance in Light of Liquidity Risk
Journal of Banking and Financial Economics, 2021 This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of “total risk” in the denominator of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds that is ...
Richard Van Horne
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How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast
Financial Innovation, 2020 This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is
Lin Liu, Qiguang Chen
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Mathematics, 2022 The Sharpe ratio is a measure based on the theory of mean variance, it is the measure of the performance of a portfolio when the risk can be measured through the standard deviation.
Lesly Lisset Ortiz-Cerezo +2 more
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Sharpening Sharpe Ratios [PDF]
SSRN Electronic Journal, 2002 It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with two or more options, as well as a continuum of derivative ...
William Goetzmann +3 more
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