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|a Sharpe Ratios and Alphas in Continuous Time
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|a This paper proposes modified versions of the Sharpe ratio and Jensen's alpha which are appropriate in a simple continuous-time model. Both are derived from optimal portfolio selection. The modified Sharpe ratio equals the ordinary Sharpe ratio plus half of the volatility of the fund. The modified alpha also differs from the ordinary alpha by a second-moment adjustment. The modified and the ordinary Sharpe ratios may rank funds differently. In particular, if two funds have the same ordinary Sharpe ratio, then the one with the higher volatility will rank higher according to the modified Sharpe ratio. This is justified by the underlying dynamic portfolio theory. Unlike their discrete-time versions, the continuous-time performance measures take into account the fact that it is optimal for investors to change the fractions of their wealth held in the fund versus the riskless asset over time
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Nielsen, Lars Tyge |
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Vassalou, Maria |
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Nielsen, Lars Tyge, Vassalou, Maria |
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This paper proposes modified versions of the Sharpe ratio and Jensen's alpha which are appropriate in a simple continuous-time model. Both are derived from optimal portfolio selection. The modified Sharpe ratio equals the ordinary Sharpe ratio plus half of the volatility of the fund. The modified alpha also differs from the ordinary alpha by a second-moment adjustment. The modified and the ordinary Sharpe ratios may rank funds differently. In particular, if two funds have the same ordinary Sharpe ratio, then the one with the higher volatility will rank higher according to the modified Sharpe ratio. This is justified by the underlying dynamic portfolio theory. Unlike their discrete-time versions, the continuous-time performance measures take into account the fact that it is optimal for investors to change the fractions of their wealth held in the fund versus the riskless asset over time |
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(DE-627)1781761477, (DE-599)KEP071251081, (OCoLC)1290392005, (ELVSSRN)412044, (EBP)071251081 |
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10.2139/ssrn.412044 |
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Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2003 erstellt |
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[S.l.], SSRN, [2003] |
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[S.l.]: SSRN, [2003] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-L242, DE-Zwi2 |
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Nielsen, Lars Tyge aut, Sharpe Ratios and Alphas in Continuous Time, [S.l.] SSRN [2003], 1 Online-Ressource (26 p), Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2003 erstellt, Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 unrestricted online access, This paper proposes modified versions of the Sharpe ratio and Jensen's alpha which are appropriate in a simple continuous-time model. Both are derived from optimal portfolio selection. The modified Sharpe ratio equals the ordinary Sharpe ratio plus half of the volatility of the fund. The modified alpha also differs from the ordinary alpha by a second-moment adjustment. The modified and the ordinary Sharpe ratios may rank funds differently. In particular, if two funds have the same ordinary Sharpe ratio, then the one with the higher volatility will rank higher according to the modified Sharpe ratio. This is justified by the underlying dynamic portfolio theory. Unlike their discrete-time versions, the continuous-time performance measures take into account the fact that it is optimal for investors to change the fractions of their wealth held in the fund versus the riskless asset over time, Vassalou, Maria oth, https://ssrn.com/abstract=412044 X:ELVSSRN Verlag kostenfrei, https://doi.org/10.2139/ssrn.412044 X:ELVSSRN Resolving-System kostenfrei, https://doi.org/10.2139/ssrn.412044 LFER, https://ssrn.com/abstract=412044 LFER, LFER 2022-01-24T12:20:15Z |
| spellingShingle |
Nielsen, Lars Tyge, Sharpe Ratios and Alphas in Continuous Time, This paper proposes modified versions of the Sharpe ratio and Jensen's alpha which are appropriate in a simple continuous-time model. Both are derived from optimal portfolio selection. The modified Sharpe ratio equals the ordinary Sharpe ratio plus half of the volatility of the fund. The modified alpha also differs from the ordinary alpha by a second-moment adjustment. The modified and the ordinary Sharpe ratios may rank funds differently. In particular, if two funds have the same ordinary Sharpe ratio, then the one with the higher volatility will rank higher according to the modified Sharpe ratio. This is justified by the underlying dynamic portfolio theory. Unlike their discrete-time versions, the continuous-time performance measures take into account the fact that it is optimal for investors to change the fractions of their wealth held in the fund versus the riskless asset over time |
| title |
Sharpe Ratios and Alphas in Continuous Time |
| title_auth |
Sharpe Ratios and Alphas in Continuous Time |
| title_full |
Sharpe Ratios and Alphas in Continuous Time |
| title_fullStr |
Sharpe Ratios and Alphas in Continuous Time |
| title_full_unstemmed |
Sharpe Ratios and Alphas in Continuous Time |
| title_short |
Sharpe Ratios and Alphas in Continuous Time |
| title_sort |
sharpe ratios and alphas in continuous time |
| url |
https://ssrn.com/abstract=412044, https://doi.org/10.2139/ssrn.412044 |
