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Sharpening Sharpe Ratios

Citations

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Cited by:

  1. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  2. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, pages 341-381.
  3. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  4. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, pages 469-480.
  5. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
  6. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, pages 124-128.
  7. Rodolphe Blavy & Luciana Juvenal, 2009. "Mexico's integration into NAFTA markets: a view from sectoral real exchange rates," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 441-464.
  8. repec:dau:papers:123456789/7739 is not listed on IDEAS
  9. José M. Marín & Francesco Franzoni, 2005. "Portable alphas from pension mispricing," Economics Working Papers 894, Department of Economics and Business, Universitat Pompeu Fabra.
  10. Peter Temin & Hans-Joachim Voth, 2004. "Riding the South Sea Bubble," American Economic Review, American Economic Association, pages 1654-1668.
  11. repec:dau:papers:123456789/9298 is not listed on IDEAS
  12. Kristin J. Forbes & Menzie D. Chinn, 2004. "A Decomposition of Global Linkages in Financial Markets Over Time," The Review of Economics and Statistics, MIT Press, pages 705-722.
  13. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, pages 599-614.
  14. Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal, 2011. "International diversification with American Depository Receipts (ADRs)," Pacific-Basin Finance Journal, Elsevier, pages 98-114.
  15. Cvitanic, Jaksa & Lazrak, Ali & Wang, Tan, 2008. "Implications of the Sharpe ratio as a performance measure in multi-period settings," Journal of Economic Dynamics and Control, Elsevier, pages 1622-1649.
  16. Fabio C. Bagliano & Claudio Morana, 2008. "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," Working papers 02, Former Department of Economics and Public Finance "G. Prato", University of Torino.
  17. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, pages 153-165.
  18. Getmansky, Mila & Lo, Andrew W. & Makarov, Igor, 2004. "An econometric model of serial correlation and illiquidity in hedge fund returns," Journal of Financial Economics, Elsevier, pages 529-609.
  19. Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, pages 66-77.
  20. Urcola, Hernan A. & Irwin, Scott H., 2006. "Has the Performance of the Hog Options Market Changed?," 2006 Annual meeting, July 23-26, Long Beach, CA 21479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  21. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, pages 196-208.
  22. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
  23. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, pages 391-417.
  24. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics," International Review of Financial Analysis, Elsevier, pages 55-66.
  25. Marie Brière & Jean-David Fermanian & Hassan Malongo & Ombretta Signori, 2012. "Volatility Strategies for Global and Country Specific European Investors," Post-Print hal-01494509, HAL.
  26. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, pages 299-306.
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