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Sharpe thinking in asset ranking with one-sided measures

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  • Farinelli, Simone
  • Tibiletti, Luisa

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  • Farinelli, Simone & Tibiletti, Luisa, 2008. "Sharpe thinking in asset ranking with one-sided measures," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1542-1547, March.
  • Handle: RePEc:eee:ejores:v:185:y:2008:i:3:p:1542-1547
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    References listed on IDEAS

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    1. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
    2. Harry Markowitz, 1952. "The Utility of Wealth," Journal of Political Economy, University of Chicago Press, vol. 60, pages 151-151.
    3. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279-279.
    4. Luisa Tibiletti & Simone Farinelli, 2003. "Upside and downside risk with a benchmark," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(4), pages 387-387, December.
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