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Monotone Sharpe Ratios and Related Measures of Investment Performance

  • Zhitlukhin M
DOI: 10.1007/978-3-030-04161-8_52
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Abstract

We introduce a new measure of performance of investment strategies, the monotone Sharpe ratio. We study its properties, establish a connection with coherent risk measures, and obtain an efficient representation for using in applications.

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APA

Zhitlukhin, M. (2019). Monotone Sharpe Ratios and Related Measures of Investment Performance (pp. 637–665). https://doi.org/10.1007/978-3-030-04161-8_52

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