Adjusting for risk:: An improved Sharpe ratio
By Kevin Dowd. 2000
204 citations recorded by the source corpus.
Subfields: Strategy and Management
View Paper: https://www.semanticscholar.org/paper/9734ff6a58b4189c67bfbc26613e30500a809ac5
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In Strategy and Management
Citations in the corpus
- Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2009, unknown): “Friend and Blume (1975) and Constantinides (1990) estimate ρ to be 2.”
- Does the Measure Matter in the Mutual Fund Industry? (2008, background): “Standard Dowd (2000) Conditional Agarwal and Naik (2004) Modified Gregoriou and Gueyie (2003) Note: ria = mean return, equal to , with rit as discrete return of fund i in month t (t = 1, . . . , T) and T as number of months; rf = (constant) risk-free interest rate; σi = standard deviation, equal to…”