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Does the choice of performance measure influence the evaluation of hedge funds?

Eling, Martin; Schuhmacher, Frank - In: Journal of banking & finance 31 (2007) 9, pp. 2632-2647

Persistent link: https://www.econbiz.de/10003572343

Sufficient conditions for expected utility to imply drawdown-based performance rankings

Schuhmacher, Frank; Eling, Martin - In: Journal of banking & finance 35 (2011) 9, pp. 2311-2318

Persistent link: https://www.econbiz.de/10009247221

A decision-theoretic foundation for reward-to-risk performance measures

Schuhmacher, Frank; Eling, Martin - In: Journal of banking & finance 36 (2012) 7, pp. 2077-2082

Persistent link: https://www.econbiz.de/10009629683

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

Persistent link: https://www.econbiz.de/10010252332

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

Does the choice of performance measure influence the evaluation of hedge funds?

Eling, Martin; Schuhmacher, Frank - In: Journal of banking & finance 31 (2007) 9, pp. 2632-2647

Persistent link: https://www.econbiz.de/10007765824

A decision-theoretic foundation for reward-to-risk performance measures

Schuhmacher, Frank; Eling, Martin - In: Journal of banking & finance 36 (2012) 7, pp. 2077-2083

Persistent link: https://www.econbiz.de/10009972347

Sufficient conditions for expected utility to imply drawdown-based performance rankings

Schuhmacher, Frank; Eling, Martin - In: Journal of banking & finance 35 (2011) 9, pp. 2311-2319

Persistent link: https://www.econbiz.de/10009177947

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