# Tag Info

1 vote

### Confidence in Sharpe ratio given performance

I was wondering the same thing. I found your question, then I found this, so I came back to share the link: https://www.twosigma.com/articles/sharpe-ratio-estimation-confidence-intervals-and-...
• 11
1 vote

### Is there a performance measure for the entire efficient frontier?

Probably under utilized is the Area Under the Curve (AUC or ROC). Assuming a straight level represents equal increments of reward and risk, measuring the mean variance line area under the curve (as ...
• 1,044
1 vote

### Is there a performance measure for the entire efficient frontier?

I remember that i saw an article using an numerical integral of the area below the efficient frontier to approximate the set of stochastically dominant portfolios for a given mean-variance combination ...
• 448