Horne, Richard van; Perez, Katarzyna - In: Journal of banking and financial economics 2 (2021) 16, pp. 91-103
This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of "total risk" in the denominator of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds that is missing from the standard Sharpe Ratio...