A Re-Examination of Sharpe's Ratio for Log-Normal Prices
AbstractThe purpose of this paper is to examine the exact properties of Sharpe's ratio when prices are log-normal. Depending on the definition of returns, different expressions are formed for unbiased estimators of Sharpe's ratio.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 12 (2005)
Issue (Month): 1 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100141
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
- He, Hua & Leland, Hayne, 1993. "On Equilibrium Asset Price Processes," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 593-617.
- Knight, John L & Satchell, Stephen E., 1997. "Existence of Unbiased Estimators of the Black/Scholes Option Price, Other Derivatives, and Hedge Ratios," Econometric Theory, Cambridge University Press, vol. 13(06), pages 791-807, December.
- Francis In & Sangbae Kim & Vijaya Marisetty & Robert Faff, 2008. "Analysing the performance of managed funds using the wavelet multiscaling method," Review of Quantitative Finance and Accounting, Springer, vol. 31(1), pages 55-70, July.
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