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When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

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  • Li Chen
  • Simai He
  • Shuzhong Zhang

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  • Li Chen & Simai He & Shuzhong Zhang, 2011. "When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1439-1447.
    • Handle: RePEc:taf:quantf:v:11:y:2011:i:10:p:1439-1447
    DOI: 10.1080/14697680903081881
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    Cited by:

    1. Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
    2. Benjamin R. Auer, 2016. "Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?," Journal of Business Ethics, Springer, vol. 135(2), pages 381-397, May.
    3. Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
    4. Righi, Marcelo Brutti, 2024. "Star-shaped acceptability indexes," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 170-181.
    5. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
    6. Derek Singh & Shuzhong Zhang, 2020. "Distributionally Robust Profit Opportunities," Papers 2006.11279, arXiv.org.
    7. Esparcia, Carlos & López, Raquel, 2024. "Performance of crypto-Forex portfolios based on intraday data," Research in International Business and Finance, Elsevier, vol. 69(C).
    8. Benedikt Hoechner & Peter Reichling & Gordon Schulze, 2015. "Pitfalls of downside performance measures with arbitrary targets," FEMM Working Papers 150018, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.

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