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Time aggregation of the Sharpe ratio
Bednarek, Ziemowit; Patel, Pratish; Ramezani, Cyrus A. - In: The journal of asset management 17 (2016) 7, pp. 540-555
Persistent link: https://www.econbiz.de/10011648221
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A strong case to calculate the Treynor ratio using log-returns
Bednarek, Ziemowit; Firsov, Oleksandr; Patel, Pratish - In: The journal of asset management 18 (2017) 4, pp. 317-325
Persistent link: https://www.econbiz.de/10011741591