A refinement to the Sharpe ratio and information ratio

By Craig L. Israelsen. 2005

239 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/40ef1a9817f1d750640f01ccdc24226023322f27

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. R. Faust
2. Martin Eling

In Economics and Econometrics

1. R. Faust
2. Martin Eling
3. Andreas Kleefeld
4. M. Delignette-Muller
5. Vytaras Brazauskas
6. Christophe Dutang

In General Decision Sciences

1. R. Faust
2. Martin Eling

Citations in the corpus

• The performance of hedge funds and mutual funds in emerging markets (2010, methodology): “We calculated other measures such as the modified Sharpe ratio developed by Israelsen (2003, 2005), the modified Sharpe ratio developed by Gregoriou and Guyie (2003), the Sortino ratio (see Sortino and van der Maar, 1991), or the Calmar ratio (see Young, 1991).”
• Robust Performance Hypothesis Testing with the Sharpe Ratio (2008, unknown): “…inference for (the difference of) various refinements to the Sharpe ratio recently proposed in the literature–e.g., see Ferruz and Vicente (2005) and Israelsen (2003, 2005)–as well as many other performance measures, such as the Information ratio, Jensen's alpha, or the Treynor ratio, to name just…”