The implied Sharpe ratio

@article{Agarwal2019TheIS,
  title={The implied Sharpe ratio},
  author={Ankush Agarwal and Matthew J. Lorig},
  journal={Quantitative Finance},
  year={2019},
  volume={20},
  pages={1009 - 1026}
}
In an incomplete market, including liquidly traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. However, unlike the Sharpe ratio, which provides a concise measure of the relative investment attractiveness of different underlying risky assets, there is no such measure available to help investors choose among the different European options. We introduce a new concept—the implied Sharpe ratio—which allows investors… 

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