Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10003476103
We show that subject to regularity conditions, for a given location-scale distribution all performance measures which are increasing functions of reward and decreasing functions of risk are monotonically increasing functions of the Sharpe ratio. For large sample sizes, the correlation between...
Persistent link: https://www.econbiz.de/10012973178