IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Sharpening Sharpe Ratios"

by William N. Goetzmann & Jonathan E. Ingersoll Jr. & Matthew I. Spiegel & Ivo Welch

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window

  1. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, vol. 116(1), pages 124-128.
  2. 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, vol. 32(5), pages 1622-1649, May.
  3. Peter Temin & Joachim Voth, 2004. "Riding the South Sea bubble," Economics Working Papers 861, Department of Economics and Business, Universitat Pompeu Fabra.
  4. repec:dau:papers:123456789/7739 is not listed on IDEAS
  5. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA.
  6. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," CeRP Working Papers 82, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  7. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
  8. 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, vol. 24(C), pages 153-165.
  9. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
  10. 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.
  11. repec:dau:papers:123456789/9298 is not listed on IDEAS
  12. Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
  13. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc.
  14. 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, vol. 234(2), pages 469-480.
  15. Francesco Franzoni & J. M. Marin, 2006. "Portable Alphas from Pension Mispricing," Post-Print halshs-00119546, HAL.
  16. Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal, 2011. "International diversification with American Depository Receipts (ADRs)," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 98-114, January.
  17. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
  18. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
  19. 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.
  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. 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, vol. 48(C), pages 55-66.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.