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Browsing Research Outputs (Business Management) by Subject "Hedge Funds; Risk Management; Sharpe Ratio; Treynor Ratio; Scaled Performance Measure"

Browsing Research Outputs (Business Management) by Subject "Hedge Funds; Risk Management; Sharpe Ratio; Treynor Ratio; Scaled Performance Measure"

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  • van Dyk, Francois; van Vuuren, Gary; Heymans, Andre (Clute Institute, 2014-11)
    The Sharpe ratio is widely used as a performance measure for traditional (i.e., long only) investment funds, but because it is based on mean-variance theory, it only considers the first two moments of a return distribution. ...

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