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Adjusting for risk:: An improved Sharpe ratio

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Author Info
Dowd, Kevin

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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 9 (2000)
Issue (Month): 3 (July)
Pages: 209-222
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Handle: RePEc:eee:reveco:v:9:y:2000:i:3:p:209-222

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Web page: http://www.elsevier.com/locate/inca/620165

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  1. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  2. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," CORE Discussion Papers 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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  3. Y. Malevergne & D. Sornette, 2002. "Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets," Quantitative Finance Papers cond-mat/0207475, arXiv.org. [Downloadable!]
  4. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, EconWPA. [Downloadable!]
  5. Christopher J. Neely, 2001. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," Working Papers 1999-015, Federal Reserve Bank of St. Louis. [Downloadable!]
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