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- W1968520221 abstract "Generating a high positive excess return in a prospective period does not necessarily increase the empirical Sharpe ratio of an investment fund. Therefore, we derive a critical range in which prospective excess returns must lie in order to increase its empirical Sharpe ratio. We also give a formal statement of an excess return value within this critical range that leads to the maximum possible empirical Sharpe ratio in the prospective period." @default.
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- W1968520221 date "2012-07-01" @default.
- W1968520221 modified "2023-09-23" @default.
- W1968520221 title "A note on empirical Sharpe ratio dynamics" @default.
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- W1968520221 doi "https://doi.org/10.1016/j.econlet.2012.02.005" @default.
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