truegrit
|
|
| Total Posts: 4 |
| Joined: Mar 2011 |
| |
|
Hello,
can someone please advise me which are the papers concerned with the calculation of Sharpe ratios different from the standard one?
I want to take into account the Expected Shortfall (Conditional VaR) in evaluating my performance measure.
Thanx
|
|
|
|
 |
|
| Help, police! posting to multiple threads, should be in basics, query answered by a simple google search. |
The crisis takes a much longer time coming than you think, and then it happens much faster than you would have thought, and that’s sort of exactly the Mexican story. It took forever and then it took a night. – Rudi Dornbusch |
|
 |
Maltese
|
|
| Total Posts: 48 |
| Joined: Aug 2005 |
| |
|
| there may be papers but be advised that most investors or fellow traders have not read these papers so you might as well stick to the standar def. sometimes people look at sortino and calmar. |
Thought is only a flash between two long nights, but this flash is everything.
Henri Poincare. |
|
|
|
| |
| |
