Optimizing the Sharpe Ratio for a Rank Based Trading System. Hellström, T. In Lecture Notes in Artificial Intelligence (LNA 2258), pages 130--141, 2001. Springer.
bibtex   
@inproceedings{ Hell01a,
  author = {Thomas Hellström},
  booktitle = {Lecture Notes in Artificial Intelligence ({LNA 2258})},
  pages = {130--141},
  publisher = {Springer},
  title = {Optimizing the {S}harpe Ratio for a Rank Based Trading System},
  year = {2001}
}
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