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A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio

Auer, Benjamin R. - In: Finance research letters 24 (2018), pp. 289-290

Persistent link: https://www.econbiz.de/10011982607

On the time-varying dynamics of stock and commodity momentum returns

Stadtmüller, Immo; Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 46 (2022) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10013341591

Performance hypothesis testing with the Sharpe ratio: The case of hedge funds

Auer, Benjamin R.; Schuhmacher, Frank - In: Finance Research Letters 10 (2013) 4, pp. 196-208

As recent research highlights that the Sharpe ratio has a decision theoretic foundation even in the case of asymmetric or fat-tailed excess returns and thus is adequate even for the evaluation of hedge funds, this note provides the first Sharpe ratio based performance analysis of the hedge fund...

Persistent link: https://www.econbiz.de/10010719854

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

Schuhmacher, Frank; Breuer, Wolfgang - In: Quantitative Finance 14 (2014) 5, pp. 775-776

Persistent link: https://www.econbiz.de/10010825951