The Sharpe Ratio Efficient Frontier

By David H. Bailey, M. Prado. 2012

154 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/073f4bbc7c6001dc639181cb82a0a3d92e419648

Citations in the corpus

• PSEUDO-MATHEMATICS AND FINANCIALCHARLATANISM: THE EFFECTS OF BACKTEST OVERFITTING ONOUT-OF-SAMPLE PERFORMANCE (2014, unknown): “So we ask the question, how high is the expected maximum Sharpe ratio IS among a set of strategy configurations where the true Sharpe ratio is zero? Bailey and López de Prado [2] derived an estimate of the Minimum Track Record Length (MinTRL) needed to reject the hypothesis that an estimated Sharpe ”