Wskaźnik Sharpe’a w teorii i w praktyce
Sharpe ratio – theory and practice

Summary/Abstract: The paper presents various proposals on overcoming the problems in evaluating portfolio performance based on ex post Sharpe ratios during declining periods. Therefore the question is: how accurately are Sharpe ratios measured? The answer is in the derivations of asymptotic distribution of Sharpe ratio that are usable for generating a confidence interval and for conducting one-sample hypothesis test.

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