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Implications of Sharpe Ratio

June 19, 2009

Keeping in tune with bringing a quantitative ‘edge’ to this blog as well as giving a close look to the fine art of money management, I hereby give you, this recent paper [2007] written by three gentlemen.

The name of the paper is : Implications of the Sharpe Ratio as a Performance Measure in Multiperiod Settings

I will be soon discussing the paper and try to come out with my own interpretations and observations. Till then do give it a read, and when we meet next time, do enrich the idea exchange.

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One Comment leave one →
  1. June 19, 2009 9:21 pm

    Hi
    What do you think about the relation between using Zvalue and sharpe ratio? What other performance indicators would you suggest?

    Thnx for the papaer, I will read it and possibly comment about it at other blog where I tend to post [www.ca-bi.com/blackbox].

    Hope this be the start of speculative relation.

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