Adjusting for risk: An improved sharpe ratio

International Review of Economics and Finance

Volumn 9, Issue 3, 2000, Pages 209-222

  Dowd, Kevin ^a  

^a NOTTINGHAM UNIVERSITY BUSINESS SCHOOL   (United Kingdom)

Author keywords

G10; G11; Performance evaluation; Risk adjustment; Sharpe ratio

Indexed keywords

EID: 0034215564     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1059-0560(00)00063-0     Document Type: Article

References (5)

1. Dembo R.S. Value-at-Risk and Return. Net Exposure: The Electronic Journal of Financial Risk. 1(October):1997;1-11.
2. Dowd K. Beyond Value at Risk. The New Science of Risk Management:1998;John Wiley, Chichester.
3. Sharpe W.F. Mutual Fund Performance. Journal of Business. 39(January):1966;119-138. Supplement on Security Prices
4. Sharpe, W. F. (1994). The Sharpe Ratio. Journal of Portfolio Management (Fall), 49-58.
5. Wilson, T. (1992). RAROC Remodelled. Risk 5(8), (September), 112-119.