When all risk-adjusted performance measures are the same: In praise of the sharpe ratio

Li Chen; Simai He; Shuzhong Zhang

doi:10.1080/14697680903081881

When all risk-adjusted performance measures are the same: In praise of the sharpe ratio

Li Chen
, Simai He
, Shuzhong Zhang

Industrial and Systems Engineering

Research output: Contribution to journal › Article › peer-review

25 Scopus citations

Original language	English (US)
Pages (from-to)	1439-1447
Number of pages	9
Journal	Quantitative Finance
Volume	11
Issue number	10
DOIs	https://doi.org/10.1080/14697680903081881
State	Published - Oct 2011

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Funding Information:
Research supported by Hong Kong RGC earmarked grants CUHK418406 and CUHK419208.

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10.1080/14697680903081881

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title = "When all risk-adjusted performance measures are the same: In praise of the sharpe ratio",

author = "Li Chen and Simai He and Shuzhong Zhang",

note = "Funding Information: Research supported by Hong Kong RGC earmarked grants CUHK418406 and CUHK419208.",

year = "2011",

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doi = "10.1080/14697680903081881",

language = "English (US)",

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JO - Quantitative Finance

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IS - 10

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When all risk-adjusted performance measures are the same: In praise of the sharpe ratio

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