A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks
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While the Sharpe ratio is still the dominant measure for ranking risky assets, a substantial effort has been made over the past three decades to find a way to account for non-Normally distributed risks. This paper derives a generalized ranking measure which, under a regularity condition, correctly
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美国国家经济研究局创建时间：
2013-10-01
