Implications of the Sharpe ratio as a performance measure in multi-period settings
نویسندگان
چکیده
منابع مشابه
Implications of the Sharpe Ratio as a Performance Measure in Multi-Period Settings
We study effects of using Sharpe ratio as a performance measure for compensating money managers in a dynamic and frictionless market setting. First, we demonstrate that with such a performance measure, the manager’s focus on the short horizon performance is detrimental to the investor’s long horizon performance. Numerical experiments illustrate that when returns are iid, the performance loss is...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2008
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2007.06.009