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Nonlinear Trading Models Through Sharpe Ratio Maximization
International Journal of Neural Systems, 1997While many trading strategies are based on price prediction, traders in financial markets are typically interested in optimizing risk-adjusted performance such as the Sharpe Ratio, rather than the price predictions themselves. This paper introduces an approach which generates a nonlinear strategy that explicitly maximizes the Sharpe Ratio.
M, Choey, A S, Weigend
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Statistical Inference for Sharpe Ratio
2010Sharpe ratios (Sharpe 1966) are the most popular risk-adjusted performance measure for investment portfolios and investment funds. Given a riskless security as a benchmark, its Sharpe ratio is defined by $$SR = \frac{{\mu - z}}{{\sqrt {{\sigma ^2}} }}$$ where μ and σ2 denote the portfolio’s mean return and return volatility, respectively, and z ...
Friedrich Schmid, Rafael Schmidt
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The Statistics of Sharpe Ratios
Financial Analysts Journal, 2002The building blocks of the Sharpe ratio—expected returns and volatilities—are unknown quantities that must be estimated statistically and are, therefore, subject to estimation error. This raises the natural question: How accurately are Sharpe ratios measured?
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A refinement to the Sharpe ratio and information ratio
Journal of Asset Management, 2005By modifying the denominator, both the Sharpe ratio and information ratio provide correct rankings during periods of negative excess returns.
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