A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio

Author:

Auer Benjamin R.

Publisher

Elsevier BV

Subject

Finance

Reference12 articles.

1. On the role of skewness, kurtosis, and the location and scale condition in a Sharpe ratio performance evaluation setting;Auer;Int. J. Theor. Appl. Finance,2015

2. Comparing downside risk measures for heavy tailed distributions;Danielsson;Econ. Lett,2006

3. Does the choice of performance measure influence the evaluation of hedge funds;Eling;J. Bank. Finance,2007

4. A note on why doesn't the choice of performance measure matter;Guo;Finance Res. Lett.,2016

5. Two-moment decision models and expected utility maximization;Meyer;Am. Econ. Rev.,1987

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