Mousavi, Samane Al-sadat; Dolati, Ali; Dastbaravarde, Ali - In: Risks : open access journal 12 (2024) 6, pp. 1-17
The Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing … can be identified based on the Sharpe ratios of risky assets and their correlation. The maximum squared Sharpe ratio …, as implied by the Sharpe ratio and related metrics, may not always hold in practice. Non-normal returns with a non …