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- Title
The Symmetric Downside-Risk Sharpe Ratio.
- Authors
Ziemba, William T.
- Abstract
The article presents an evaluation of the Sharpe ratio. Sharpe ratio is an efficient tool for portfolio management particularly to those investment returns with risks. Evaluation and modification of the approach were done aiming to improve the financial tool and reduce its shortcomings. The symmetric downside-risk Sharpe ratio by the author offers realistic results while another modification utilizes general return distribution. Option strategies are also applied to the Sharpe ratio measure. Comparison of the approaches were also presented.
- Subjects
PORTFOLIO management (Investments); FINANCIAL ratios; FINANCIAL risk management; RATIO analysis; FINANCIAL risk; FINANCIAL performance; RATE of return; FINANCIAL management; PORTFOLIO performance; MANAGEMENT
- Publication
Journal of Portfolio Management, 2005, Vol 32, Issue 1, p108
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.2005.599515