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Comment

When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio ‒ a comment

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Pages 775-776 | Received 17 Sep 2012, Accepted 30 Nov 2013, Published online: 15 Apr 2014

References

  • Chen, L., He, S. and Zhang, S., When all risk-adjusted performance measures are the same: In praise of the Sharpe ratio. Quant. Finance, 2011, 11, 1439–1447.
  • Meyer, J., Two moment decision models and expected utility maximization. Am. Econ. Rev., 1987, 77, 421–430.
  • Owen, J. and Rabinovitch, R., On the class of elliptical distributions and their applications to the theory of portfolio choice. J. Financ., 1983, 38, 745–752.
  • Schuhmacher, F. and Eling, M., A decision-theoretic foundation for reward-to-risk performance measures. J. Bank. Financ., 2012, 36, 2077–2082.

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