A Monotone Performance Measure Based on the Sharpe Ratio
11 Pages Posted: 15 May 2015
Date Written: May 15, 2015
In this paper we present a modification of the Sharpe ratio, which is monotone with respect to second-order stochastic dominance. We study its properties and obtain a representation which allows to compute it in an efficient way.
Keywords: Sharpe ratio, second-order stochastic dominance
JEL Classification: G19
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