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Implications of the Sharpe ratio as a performance measure in multi-period settings

Cvitanić, Jakša; Lazrak, Ali; Wang, Tan - In: Journal of economic dynamics & control 32 (2008) 5, pp. 1622-1649

Persistent link: https://www.econbiz.de/10003732541

Dynamic portfolio choice with parameter uncertainty and the economic value of analysts' recommendations

Cvitanić, Jakša; Lazrak, Ali; Martellini, Lionel; … - In: The review of financial studies 19 (2006) 4, pp. 1113-1156

Persistent link: https://www.econbiz.de/10003391743

On managerial risk-taking incentives when compensation may be hedged against

Cvitanić, Jakša; Henderson, Vicky; Lazrak, Ali - In: Mathematics and financial economics 8 (2014) 4, pp. 453-471

Persistent link: https://www.econbiz.de/10010491928

Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings

Cvitanic, Jaksa - 2009

We study effects of using Sharpe ratio as a performance measure for compensating money managers in a dynamic and frictionless market setting. First, we demonstrate that with such a performance measure, the manager's focus on the short horizon performance is detrimental to the investor's long...

Persistent link: https://www.econbiz.de/10012721440