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Ranking method
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Auer, Benjamin R.
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Applied mathematical finance
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Sharper asset ranking from total drawdown durations
Challet, Damien
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011746991
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Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
Journal of international financial markets, …
24
(
2013
),
pp. 153-165
Persistent link: https://www.econbiz.de/10009726414
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