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Quantitative Finance Volume 11, 2011 - Issue 10: Themed Issue on Asset Allocation
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When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio

Li Chen Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, Hong Kong
,
Simai He Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, Hong Kong
&
Shuzhong Zhang Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, Hong KongCorrespondence[email protected]
Pages 1439-1447 | Received 21 Apr 2008, Accepted 18 May 2009, Published online: 27 Sep 2011

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Ran Ji, Miguel A. Lejeune & Zhengyang Fan. (2022) Distributionally robust portfolio optimization with linearized STARR performance measure. Quantitative Finance 22:1, pages 113-127.
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Frank Schuhmacher & Wolfgang Breuer. (2014) When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio ‒ a comment. Quantitative Finance 14:5, pages 775-776.
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James Ming Chen. (2021) The Capital Asset Pricing Model. Encyclopedia 1:3, pages 915-933.
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BENJAMIN R. AUER & FRANK SCHUHMACHER. (2021) COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES. International Journal of Theoretical and Applied Finance 24:05, pages 2150024.
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Nathan Lassance & Frédéric Vrins. (2019) Minimum Rényi entropy portfolios. Annals of Operations Research 299:1-2, pages 23-46.
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Derek Singh & Shuzhong Zhang. (2021) Distributionally robust profit opportunities. Operations Research Letters 49:1, pages 121-128.
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Chris van Heerden. (2020) Establishing the risk denominator in a Sharpe ratio framework for share selection from a momentum investment strategy approach. South African Journal of Economic and management Sciences 23:1.
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Benedikt Hoechner, Peter Reichling & Gordon Schulze. (2017) Pitfalls of Downside Performance Measures with Arbitrary Targets. International Review of Finance 17:4, pages 597-610.
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Ying Liu & Ya-Nan Li. (2017) A Parametric Sharpe Ratio Optimization Approach for Fuzzy Portfolio Selection Problem. Mathematical Problems in Engineering 2017, pages 1-17.
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Peter Reichling & Gordon SchulzePeter Reichling & Gordon Schulze. 2017. Downside-orientiertes Portfoliomanagement. Downside-orientiertes Portfoliomanagement 121 175 .
Benjamin R. Auer. (2014) Do Socially Responsible Investment Policies Add or Destroy European Stock Portfolio Value?. Journal of Business Ethics 135:2, pages 381-397.
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Chieh-Shuo Chen. (2016) Assessing the Impact of Risk Mismeasurement and Economic Cycle on the Seasonal-Size Anomaly in Hong Kong. Modern Economy 07:01, pages 1-9.
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BENJAMIN R. AUER. (2015) ON THE ROLE OF SKEWNESS, KURTOSIS, AND THE LOCATION AND SCALE CONDITION IN A SHARPE RATIO PERFORMANCE EVALUATION SETTING. International Journal of Theoretical and Applied Finance 18:06, pages 1550037.
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Frank Schuhmacher & Benjamin R. Auer. (2014) Sufficient conditions under which SSD- and MR-efficient sets are identical. European Journal of Operational Research 239:3, pages 756-763.
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Frank Schuhmacher & Martin Eling. (2012) A decision-theoretic foundation for reward-to-risk performance measures. Journal of Banking & Finance 36:7, pages 2077-2082.
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James Ming Chen. (2021) The Capital Asset Pricing Model. SSRN Electronic Journal.
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Ran Ji, Miguel Lejeune & Zhengyang Fan. (2019) Distributionally Robust Portfolio Optimization with STARR Performance Measure. SSRN Electronic Journal.
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Nathan Lassance. (2019) Information-Theoretic Approaches to Portfolio Selection. SSRN Electronic Journal.
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Xu Guo, Haim Levy, Richard Lu & Wing-Keung Wong. (2018) Could Omega Ratio Perform Better than Sharpe Ratio?. SSRN Electronic Journal.
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Nathan Lassance. (2017) Optimal RRnyi Entropy Portfolios. SSRN Electronic Journal.
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