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Don't Stand So Close to Sharpe

https://doi.org/10.2139/ssrn.2792592
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781119831976openalex-extracted
Practical Portfolio Performance Measurement and Attribution
inferredcites →https://doi.org/10.1007/s10957-011-9972-6openalex-extracted
Optimal Asset Allocation: A Worst Scenario Expectation Approach
inferredcites →https://doi.org/10.1016/b978-075065026-7.50008-0openalex-extracted
An analysis of performance measures using copulae
inferredcites →https://doi.org/10.1016/j.ejor.2006.08.020openalex-extracted
Sharpe thinking in asset ranking with one-sided measures
inferredcites →https://doi.org/10.1016/j.ejor.2007.08.035openalex-extracted
Optimal asset allocation aid system: From “one-size” vs “tailor-made” performance ratio
inferredcites →https://doi.org/10.1016/j.ejor.2015.04.039openalex-extracted
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
inferredcites →https://doi.org/10.1080/00401706.1979.10489726openalex-extracted
Tables of the Studentized Maximum Modulus Distribution and an Application to Multiple Comparisons Among Means
inferredcites →https://doi.org/10.1080/03610918008812146openalex-extracted
Further tables of the studentized maximum modulus distribution
inferredcites →https://doi.org/10.1086/262114openalex-extracted
Gain, Loss, and Asset Pricing
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-extracted
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1111/j.1540-6261.1983.tb02499.xopenalex-extracted
On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice
inferredcites →https://doi.org/10.1111/j.1540-6261.1984.tb04917.xopenalex-extracted
Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb05070.xopenalex-extracted
Institutional Ownership and Changes in the S&P 500
inferredcites →https://doi.org/10.1111/joes.12041openalex-extracted
A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES
inferredcites →https://doi.org/10.1198/073500102288618487openalex-extracted
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1287/mnsc.37.5.519openalex-extracted
Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market
inferredcites →https://doi.org/10.1287/mnsc.44.5.673openalex-extracted
A Minimax Portfolio Selection Rule with Linear Programming Solution
inferredcites →https://doi.org/10.2469/faj.v43.n1.58openalex-extracted
The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500
inferredcites →https://doi.org/10.2469/faj.v64.n3.6openalex-extracted
Does the Measure Matter in the Mutual Fund Industry?
inferredcites →https://doi.org/10.3905/jai.2008.705531openalex-extracted
The Relative Merits of Alternative Investments in Passive Portfolios
inferredcites →https://doi.org/10.3905/jpm.1991.409343openalex-extracted
Downside risk
inferredcites →https://doi.org/10.3905/jpm.1994.409501openalex-extracted
The Sharpe Ratio
inferredcites →https://doi.org/10.3905/jpm.1999.319775openalex-extracted
The Dutch Triangle
inferredcites →https://doi.org/10.3905/jpm.2004.443328openalex-extracted
Different Approaches to Risk Estimation in Portfolio Theory
inferredcites →https://doi.org/10.5018/economics-ejournal.ja.2011-10openalex-extracted
Comparing and Selecting Performance Measures Using Rank Correlations
inferredcites →https://doi.org/10.1016/j.jbankfin.2006.09.015openalex-snapshot
Does the choice of performance measure influence the evaluation of hedge funds?
inferredcites →https://doi.org/10.1111/1468-0262.00167openalex-snapshot
Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1016/j.iref.2018.01.018openalex-snapshot
Stability in mutual fund performance rankings: A new proposal
inferred← citeshttps://doi.org/10.53369/vogg5707openalex-snapshot
Performance Appraisal of Open-ended Equity Funds in Pakistan: An alternative Approaches of Performance Measure
inferred← citeshttps://doi.org/10.53369/wjhn7678openalex-snapshot
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