Incremental Sharpe and other performance ratios
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- Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Post-Print hal-02012443, HAL.
- Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Papers 1807.09864, arXiv.org, revised Dec 2018.
References listed on IDEAS
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- repec:dau:papers:123456789/4688 is not listed on IDEAS
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Cited by:
- Eric Benhamou & David Saltiel & Serge Tabachnik & Sui Kai Wong & François Chareyron, 2021. "Distinguish the indistinguishable: a Deep Reinforcement Learning approach for volatility targeting models," Working Papers hal-03202431, HAL.
- Eric Benhamou & David Saltiel & Serge Tabachnik & Sui Kai Wong & Franc{c}ois Chareyron, 2021. "Adaptive learning for financial markets mixing model-based and model-free RL for volatility targeting," Papers 2104.10483, arXiv.org, revised Apr 2021.
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Keywords
sharpe; treynor; recovery; incremental sharpe ratio; portfolioâ diversification;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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