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Could Omega Ratio Perform Better than Sharpe Ratio?
SSRN Electronic Journal, 2018In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and risk seekers in some strong dominance cases.
Xu Guo +3 more
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SSRN Electronic Journal, 2014
The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation:* Non-Normally distributed returns.* Selection bias under multiple testing.
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The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation:* Non-Normally distributed returns.* Selection bias under multiple testing.
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Beyond Sharpe ratio: Optimal asset allocation using different performance ratios
Journal of Banking & Finance, 2008Abstract As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for constructing optimal portfolios. In order to overcome the problem, asymmetrical parameter-dependent performance ratios have been recently proposed in the literature.
Farinelli S +4 more
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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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Cancer statistics for the US Hispanic/Latino population, 2021
Ca-A Cancer Journal for Clinicians, 2021Kimberly D Miller +2 more
exaly
Cancer risk among World Trade Center rescue and recovery workers: A review
Ca-A Cancer Journal for Clinicians, 2022Paolo Boffetta +2 more
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