Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion

Charles-Olivier Amédée-Manesme, Fabrice Barthélémy. Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. Annals OR, 313(2):691-712, 2022. [doi]

Abstract

Abstract is missing.