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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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Adjusted Empirical Likelihood Method in the Presence of Nuisance Parameters with Application to the Sharpe Ratio [PDF]
Entropy, 2018 The Sharpe ratio is a widely used risk-adjusted performance measurement in economics and finance. Most of the known statistical inferential methods devoted to the Sharpe ratio are based on the assumption that the data are normally distributed.
Yuejiao Fu +2 more
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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 ...
Matthew Lorig, Ankush Agarwal
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Multi-Sensor Temporal Fusion Transformer for Stock Performance Prediction: An Adaptive Sharpe Ratio Approach [PDF]
SensorsAccurate prediction of the Sharpe ratio, a key metric for risk-adjusted returns in financial markets, remains a significant challenge due to the complex and stochastic nature of stock price movements.
Jingyun Yang +4 more
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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 Dastbaravarde +2 more
exaly +3 more sources
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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