%0 Generic %1 rivin2018sharpe %A Rivin, Igor %D 2018 %K quantfinance sharpe statistics %T What is the Sharpe Ratio, and how can everyone get it wrong? %U http://arxiv.org/abs/1802.04413 %X The Sharpe ratio is the most widely used risk metric in the quantitative finance community - amazingly, essentially everyone gets it wrong. In this note, we will make a quixotic effort to rectify the situation.

@misc{rivin2018sharpe, abstract = {The Sharpe ratio is the most widely used risk metric in the quantitative finance community - amazingly, essentially everyone gets it wrong. In this note, we will make a quixotic effort to rectify the situation.}, added-at = {2018-02-17T07:01:51.000+0100}, author = {Rivin, Igor}, biburl = {https://www.bibsonomy.org/bibtex/2bac3bd7320c56802f970de6c7bf995a9/shabbychef}, description = {What is the Sharpe Ratio, and how can everyone get it wrong?}, interhash = {1c8f8ad978696a13f95904947f092f47}, intrahash = {bac3bd7320c56802f970de6c7bf995a9}, keywords = {quantfinance sharpe statistics}, note = {cite arxiv:1802.04413Comment: Four pages}, timestamp = {2018-02-17T07:02:03.000+0100}, title = {What is the Sharpe Ratio, and how can everyone get it wrong?}, url = {http://arxiv.org/abs/1802.04413}, year = 2018 }