Title:

Beyond Sharpe Ratio: Optimal Asset Allocation Using Different Performance Ratios

Authors:

Simone Farinelli (UBS Zurich)
Manuel Ferreira (Cantonal Bank of Zurich)
Damiano Rossello (U Catania)
Markus Thoeny (Cantonal Bank of Zurich)
Luisa Tibiletti (U Turin)

Journal:

Journal of Banking and Finance

Year:

2008

Volume:

32

Pages:

2057-2063

JEL code:

G11 - Portfolio Choice; Investment Decisions