The Sharpe Ratio

By W. Sharpe. 1994

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Citations in the corpus

Enhancing Time-Series Momentum Strategies Using Deep Neural Networks (2019, methodology): “Second, by using automatic differentiation in existing backpropagation frameworks, we explicitly optimize networks for risk-adjusted performance metrics—that is, the Sharpe ratio (Sharpe 1994)—improving the risk profile of the signal on the whole.”
Financial Time Series Prediction Using Deep Learning (2017, background): “Figure 11 shows the annual Sharpe Ratio [34] versus the commissions for different assets using the proposed approach.”
Financial market prediction system with Evolino neural network and Delphi method (2013, background): “The overall LSTM network scale of all the positions should, in turn, be proportional to the investor’s risk tolerance (Sharpe 1994).”
Beyond Sharpe ratio: Optimal asset allocation using different performance ratios (2008, background): “Subsequently, Zenios (1993), Zenios and Kang (1993) and Sharpe (1994) improved the ratio suggesting to refer the performance to a benchmark.”
Monitoring the coefficient of variation using a variable sample size control chart (2015, background): “In the field of finance (see [17]), it is interpreted as a measure of the risk faced by investors, by relating the volatility of the return on an asset to the expected value of the return.”
Monitoring the Coefficient of Variation Using EWMA Charts (2011, background): “In the field of finance (see Sharpe (1994)), it is interpreted as a measure of the risk faced by investors, by relating the volatility of the return on an asset to the expected value of the return.”
Developing a two level options trading strategy based on option pair optimization of spread strategies with evolutionary algorithms (2015, methodology): “Its current version and the version used in this study are developed in 1998 [23].”
Inefficiencies and Market Power in Financial Arbitrage: A Study of California’s Electricity Markets (2006, background): “For instance, in the first four months of trading, ISO prices were lower in both the North and South during both the early hours (1-6) and late hours (8-24), although the negative coefficients were only statistically significant in three out of the eight late-hour specifications.”
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures (2007, background): “14 The timing measures of Treynor and Mazuy (1966) and Henriksson and Merton (1981) are bivariate regressions that use an extra market factor to capture managers’ timing abilities (rather than to capture an additional source of risk).”
Learning Connections in Financial Time Series (2013, methodology): “The comparison is done using minimum daily return, total cumulative return, maximum drawdown, and the Sharpe ratio (Sharpe, 1994).”
Toward autonomic web services trust and selection (2004, methodology): “Alternatively, we could try to modify our moment’s calculation in the spirit of the Sharpe ratio [Sharpe, 1994]—which is used in economics to help the allocation of portfolio, measure the performance of mutual funds, and other financial performance measurements.”