Results 181 to 190 of about 16,345 (198)

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

European Journal of Operational Research, 2021
Deepayan Chakrabarti
exaly  

Identifying the fair value of Sharpe ratio by an option valuation approach

Quarterly Review of Economics and Finance, 2021
Jin-Ray Lu
exaly  

A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks

Journal of Banking and Finance, 2021
Daniel Rösch
exaly  

The Sharpe Ratio’s Upper Bound of the Portfolios in the Presence of a Benchmark: Application to the US Financial Market

Journal of Mathematical Finance, 2022
Muhammad wajid raza, Yiwei Wang
exaly  

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

Journal of Asset Management, 2013
Geng Deng
exaly  

The implied Sharpe ratio

Quantitative Finance, 2020
Matthew Lorig, Ankush Agarwal
exaly  

Refinements to the Sharpe ratio: Comparing alternatives for bear markets

Journal of Asset Management, 2006
Hendrik Scholz
exaly  

The mean–variance ratio test—A complement to the coefficient of variation test and the Sharpe ratio test

Statistics and Probability Letters, 2011
Wing-Keung Wong, Zhidong Bai
exaly  

Comparing large-sample maximum Sharpe ratios and incremental variable testing

European Journal of Operational Research, 2018
Spiridon Penev
exaly  

Noise fit, estimation error and a Sharpe information criterion

Quantitative Finance, 2020
Dirk Paulsen, Jakob Söhl
exaly