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Sharpening Sharpe Ratios

Goetzmann, William N. - 2002

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with...

Persistent link: https://www.econbiz.de/10012787125

Portfolio performance manipulation and manipulation-proof performance measures

Ingersoll, Jonathan E.; Spiegel, Matthew; Goetzmann, … - In: The review of financial studies 20 (2007) 5, pp. 1503-1546

Persistent link: https://www.econbiz.de/10003621177

Sharpening sharpe ratios

Goetzmann, William H.; Ingersoll, Jonathan E.; Spiegel, … - 2002

Persistent link: https://www.econbiz.de/10001692912

The Financial Analysts Journal and investment management

Goetzmann, William N. - In: Financial analysts journal : FAJ 76 (2020) 3, pp. 5-21

Persistent link: https://www.econbiz.de/10012261158

Pairs trading : performance of a relative value arbitrage rule

Gatev, Evan G.; Goetzmann, William N.; Rouwenhorst, K. Geert - 1999

Persistent link: https://www.econbiz.de/10001378340

Hedge funds with style

Brown, Stephen J.; Goetzmann, William N. - 2001

Persistent link: https://www.econbiz.de/10001567349

Long-term global market correlations

Goetzmann, William N.; Li, Lingfeng; Rouwenhorst, K. Geert - 2001

Persistent link: https://www.econbiz.de/10001628687

Homogeneous groupings of metropolitan housing markets

Abraham, Jesse M. - In: Journal of housing economics 3 (1994) 3, pp. 186-206

Persistent link: https://www.econbiz.de/10001173584

Positive portfolio factors

Brown, Stephen J.; Goetzmann, William N.; Grinblatt, Mark - 1998

Persistent link: https://www.econbiz.de/10000656574

Long-term global market correlations

Goetzmann, William N.; Li, Lingfeng; Rouwenhorst, K. Geert - 2003

Persistent link: https://www.econbiz.de/10001741045

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