Follow us using:
Newsletter Sign-up
Tag Archives: Sharpe ratio
Sharpe ratios, replacing managers and random portfolios
Two articles in the August issue of Journal of Asset Management discuss topics that relate to random portfolios. Sharpe ratios The first article is “The Sharpe ratio’s market climate bias: Theoretical and empirical evidence from US equity mutual funds” by Sebastian Krimm, Hendrik Scholz and Marco Wilkens (abstract). SSRN claims a version of the paper is downloadable, but … Continue reading
Posted in Performance, Random portfolios
Tagged Monte Carlo in finance, Sharpe ratio
Leave a comment