Deflating the Sharpe Ratio
| Year of publication: |
2015
|
|---|---|
| Authors: | Lopez de Prado, Marcos |
| Publisher: |
[2015]: [S.l.] : SSRN |
| Subject: | Deflation | Inflation | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Description of contents: |
The Deflated Sharpe Ratio (DSR) corrects for two leading sources of performance inflation:* Non-Normally distributed returns.* Selection bias under multiple testing
|
freely available
| Extent: | 1 Online-Ressource (43 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 13, 2014 erstellt |
| Other identifiers: | 10.2139/ssrn.2465675 [DOI] |
| Classification: | G0 - Financial Economics. General ; G1 - General Financial Markets ; G2 - Financial Institutions and Services ; G15 - International Financial Markets ; G24 - Investment Banking; Venture Capital; Brokerage ; E44 - Financial Markets and the Macroeconomy |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013033216