A re-examination of Sharpe's ratio for log-normal prices

Applied Mathematical Finance

Volumn 12, Issue 1, 2005, Pages 87-100

  Knight, John ^a   Satchell, Stephen ^a,b  

^a UNIVERSITY OF WESTERN ONTARIO   (Canada)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Log normal prices; Sharpe's ratio; Unbiased estimation

Indexed keywords

EID: 16644378389     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486042000271647     Document Type: Article

References (7)

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3. Knight, J. and Satchell, S. (1997) Existence of unbiased estimators of the Black/Scholes option price, other derivatives and hedge ratios, Econometric Theory, December, pp. 791-807.
4. Lehmann, E. L. (1983) Theory of Point Estimation (Wiley).
5. Miller, R. and Gehr, A. (1978) Sample bias and Sharpe's performance measure: a note, Journal of Financial and Quantitative Analysis, 13, pp. 943-946.
6. Rubinstein, M. (1976) The valuation of uncertain income streams and the pricing of options, The Bell Journal of Economics and Management, 7, pp. 407-425.
7. Sharpe, W. (1964) Capital asset prices: a theory of capital market equilibrium under conditions of risk, Journal of Finance, 19, pp. 425-442.