Sharpening Sharpe Ratios

Preprint OPEN
William Goetzmann; Jonathan Ingersoll; Matthew I. Spiegel; Ivo Welch;
(2002)
  • Subject: Sharpe Ratio, Hedge Funds, Derivatives
    • jel: jel:G0 | jel:G1 | jel:G2

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the ... View more
  • References (13)
    13 references, page 1 of 2

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