Implications of the Sharpe ratio as a performance measure in multi-period settings

Journal of Economic Dynamics and Control

Volumn 32, Issue 5, 2008, Pages 1622-1649

  Cvitanić, Jakša ^a   Lazrak, Ali ^b   Wang, Tan ^b,c  

^a CALIFORNIA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^c CCFR   (Canada)

Author keywords

Money managers; Performance measures; Sharpe ratio

Indexed keywords

EID: 41949093593     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2007.06.009     Document Type: Article

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