A Monotone Performance Measure Based on the Sharpe Ratio

11 Pages Posted: 15 May 2015

Date Written: May 15, 2015

Abstract

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

Suggested Citation

Zhitlukhin, Mikhail, A Monotone Performance Measure Based on the Sharpe Ratio (May 15, 2015). Available at SSRN: https://ssrn.com/abstract=2606555 or http://dx.doi.org/10.2139/ssrn.2606555

Mikhail Zhitlukhin (Contact Author)

Steklov Mathematical Institute ( email )

Gubkina St. 8
Moscow, 119991
Russia

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