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Comparing large-sample maximum Sharpe ratios and incremental variable testing
European Journal of Operational Research, 2018Michael Hanke, Spiridon Penev
exaly
Noise fit, estimation error and a Sharpe information criterion
Quantitative Finance, 2020Dirk Paulsen, Jakob Sohl
exaly
Stock performance by utility indifference pricing and the Sharpe ratio
Quantitative Finance, 2019Jiro Hodoshima
exaly
The low return distortion of the Sharpe ratio
Financial Markets and Portfolio Management, 2013Benjamin R Auer
exaly
Sharpe thinking in asset ranking with one-sided measures
European Journal of Operational Research, 2008Simone Farinelli, Luisa Tibiletti
exaly