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Implications of the Sharpe ratio as a performance measure in multi-period settings

, , and . Journal of Economic Dynamics and Control, 32 (5): 1622--1649 (May 2008)

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A Generalized Stochastic Differential Utility., and . Math. Oper. Res., 28 (1): 154-180 (2003)Implications of the Sharpe ratio as a performance measure in multi-period settings, , and . Journal of Economic Dynamics and Control, 32 (5): 1622--1649 (May 2008)