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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