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Quantitative Finance Volume 11, 2011 - Issue 10: Themed Issue on Asset Allocation
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Feature

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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Acknowledgement

Research supported by Hong Kong RGC earmarked grants CUHK418406 and CUHK419208.

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