Título:

Beyond Sharpe Ratio: Optimal Asset Allocation Using Different Performance Ratios

Autores:

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

Revista:

Journal of Banking and Finance

Ano:

2008

Volume:

32

Páginas:

2057-2063

Código JEL:

G11 - Portfolio Choice; Investment Decisions