The time aggregation of Sharpe ratio
Dias Curto, José
More than four decades have passed and the Sharpe Ratio (SR) continues to be one of the most popular portfolio risk adjusted performance measures. In this monograph we comment on Lo's (2002) results for the time aggregation of SR considering a different approach to deal with the conditional heteroskedasticity of returns. Based on a theorem proposed by Diebold (1986, 1988) we verify that the most common method for time aggregation, the product ...