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**A note on empirical Sharpe ratio dynamics.**
*(English)*
Zbl 1253.91127

Summary: Generating a high positive excess return in a prospective period does not necessarily increase the empirical Sharpe ratio of an investment fund. Therefore, we derive a critical range in which prospective excess returns must lie in order to increase its empirical Sharpe ratio. We also give a formal statement of an excess return value within this critical range that leads to the maximum possible empirical Sharpe ratio in the prospective period.

### MSC:

91B64 | Macroeconomic theory (monetary models, models of taxation) |

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\textit{M. Schuster} and \textit{B. R. Auer}, Econ. Lett. 116, No. 1, 124--128 (2012; Zbl 1253.91127)

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### References:

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