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Eva del Pozo

Universidad Complutense de Madrid (UCM)

Carretera de Humera s/n

Madrid, Madrid 28223

Spain

  • Universidad Complutense de Madrid (UCM)

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The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
David H. Bailey, Marcos Lopez de Prado and Eva del Pozo
Lawrence Berkeley National Laboratory, AQR Capital Management, LLC and Universidad Complutense de Madrid (UCM)
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Abstract:

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Portfolio theory, Sharpe ratio, pairwise correlation, indifference curve, diversification