IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v11y2011i10p1439-1447.html
   My bibliography  Save this article

When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

Author

Listed:
  • Li Chen
  • Simai He
  • Shuzhong Zhang

Abstract

No abstract is available for this item.

Suggested Citation

  • Li Chen & Simai He & Shuzhong Zhang, 2011. "When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1439-1447.
    • Handle: RePEc:taf:quantf:v:11:y:2011:i:10:p:1439-1447
    DOI: 10.1080/14697680903081881
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697680903081881
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697680903081881?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
    2. Benjamin R. Auer, 2016. "Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?," Journal of Business Ethics, Springer, vol. 135(2), pages 381-397, May.
    3. Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
    4. Marcelo Brutti Righi, 2021. "Star-shaped acceptability indexes," Papers 2110.08630, arXiv.org, revised Jun 2022.
    5. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
    6. Derek Singh & Shuzhong Zhang, 2020. "Distributionally Robust Profit Opportunities," Papers 2006.11279, arXiv.org.
    7. Benedikt Hoechner & Peter Reichling & Gordon Schulze, 2015. "Pitfalls of downside performance measures with arbitrary targets," FEMM Working Papers 150018, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:11:y:2011:i:10:p:1439-1447. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.