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A Re-Examination of Sharpe's Ratio for Log-Normal Prices

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  • John Knight
  • Stephen Satchell

Abstract

The 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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File URL: http://www.tandfonline.com/doi/abs/10.1080/1350486042000271647
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

Volume (Year): 12 (2005)
Issue (Month): 1 ()
Pages: 87-100

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Handle: RePEc:taf:apmtfi:v:12:y:2005:i:1:p:87-100

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Related research

Keywords: Sharpe's ratio; log-normal prices; unbiased estimation;

References

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  1. 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.
  2. He, Hua & Leland, Hayne, 1993. "On Equilibrium Asset Price Processes," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 593-617.
  3. Miller, Robert E. & Gehr, Adam K., 1978. "Sample Size Bias and Sharpe's Performance Measure: A Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(05), pages 943-946, December.
  4. 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.
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Cited by:
  1. 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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