Billio, Monica; Calès, Ludovic; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they suffer two intricate drawbacks (1) they are relative to a perr's performance and (2) the best score is generally assumed to correspond to a "good" portfolio allocation, with no...