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Fama, Eugene and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465
Jegadeesh, N., & Titman, S., 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48(1): 65–91
Sharpe, W. F., 1966, Mutual Fund Performance, Journal of Business 39 (S1), 119–138
Sharpe, William F., 1994, The Sharpe Ratio, The Journal of Portfolio Management 21 (1), 49–58
Sortino, F.A., Price, L.N.,1994, Performance measurement in a downside risk framework, Journal of Investing 3, 50–8
Treynor, Jack L.,...