Ferruz Agudo, Luis; Marzal, Sarto; Luis, José - In: Omega 32 (2004) 4, pp. 273-284
This paper concentrates on the financial analysis of investment performance taking Sharpe's ratio as a basic point of reference, as well as giving further consideration to the use of this performance measure as an approximation to a utility index. We also propose certain changes to Sharpe's...