A Re-Examination of Sharpe's Ratio for Log-Normal Prices

John Knight and Stephen Satchell

Applied Mathematical Finance, 2005, vol. 12, issue 1, 87-100

Abstract: The purpose of this paper is to examine the exact properties of Sharpe's ratio when prices are log-normal. Depending on the definition of returns, different expressions are formed for unbiased estimators of Sharpe's ratio.

Keywords: Sharpe's ratio; log-normal prices; unbiased estimation (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/1350486042000271647

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