Results 211 to 220 of about 6,534 (244)

Higher co-moments and adjusted Sharpe ratios for cryptocurrencies

Finance Research Letters, 2021
Botond Benedek
exaly  

Modified Sharpe Ratio

SSRN Electronic Journal, 2022
Javier Vidal-García, Marta Vidal
openaire   +1 more source

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  

The Sharpe Ratio

2021
openaire   +1 more source

A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks

Journal of Banking and Finance, 2021
Daniel Rosch
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
exaly  

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

Journal of Asset Management, 2013
Geng Deng, Deng Geng
exaly  

Refinements to the Sharpe ratio: Comparing alternatives for bear markets

Journal of Asset Management, 2006
Hendrik Scholz, Scholz Hendrik
exaly  

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

Statistics and Probability Letters, 2011
Zhidong Bai, Keyan Wang, Wing-Keung Wong   +2 more
exaly