Sharpe Ratios and Alphas in Continuous Time

Journal of Financial and Quantitative Analysis

Volumn 39, Issue 1, 2004, Pages 103-114

  Nielsen, Lars Tyge ^a   Vassalou, Maria ^b  

^a MORGAN STANLEY   (United States)

^b Columbia University ^*  (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1842592124     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000003902     Document Type: Article

References (9)

1. Goetzman, W.; J. E. Ingersoll; M. I. Spiegel; and I. Welch. "Sharpening Sharpe Ratios." Working Paper 02-08, Yale IFC (February 2002).
2. Huang, C., and R. Litzenberger. Foundations for Financial Economics. Amsterdam: North-Holland (1988).
3. Jensen, M. C. "The Performance of Mutual Funds in the Period 1945-1964." Journal of Finance, 23 (1968), 389-415.
4. _. "Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios." Journal of Business, 42 (1969), 167-242.
5. Lo, A. W. "The Statistics of Sharpe Ratios." Financial Analysts Journal, 58 (2002), 36-52.
6. Merton, R. C. "Optimum Consumption and Portfolio Rules in a Continuous Time Model." Journal of Economic Theory, 3 (1971), 373-413.
7. Nielsen, L. T. Pricing and Hedging of Derivative Securities. Oxford, U.K.: Oxford Univ. Press (1999).
8. Nielsen, L. T., and M. Vassalou. "Portfolio Selection with Randomly Time-Varying Moments: The Role of the Instantaneous Capital Market Line." http://www.gsb.columbia.edu/faculty/mvassalou/. Working Paper, Columbia Univ. (1997).
9. Sharpe, W. F. "Mutual Fund Performance." Journal of Business, 34 (1966), 119-138.