Sharpening Sharpe Ratios
收藏NBER2002-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w9116
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资源简介：
It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with two
提供机构：
美国国家经济研究局
创建时间：
2002-08-01
