The Hidden Sharpe Ratio -- by Mikhail Chernov, Bryan T. Kelly, Semyon Malamud, Johannes Schwab

Semyon Malamud gratefully acknowledges the financial support of the Swiss Finance Institute and the Swiss National Science Foundation, Grant 100018-228042. This work was also supported by a grant from the Swiss National Supercomputing Centre (CSCS) under project ID lp46 on Alps. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

Semyon Malamud gratefully acknowledges support from the Swiss Finance Institute and the Swiss National Science Foundation.

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