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Jobson JD; Korkie B (September 1981). "Performance hypothesis testing with the Sharpe and Treynor measures". The Journal of Finance. 36 (4): 888–908. doi:10.1111/j.1540-6261.1981.tb04891.x. JSTOR2327554.
Scholz, Hendrik (2007). "Refinements to the Sharpe ratio: Comparing alternatives for bear markets". Journal of Asset Management. 7 (5): 347–357. doi:10.1057/palgrave.jam.2250040. S2CID154908707.
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Bailey, D. and M. López de Prado (2012): "The Sharpe Ratio Efficient Frontier", Journal of Risk, 15(2), pp.3-44. Available at https://ssrn.com/abstract=1821643
Bailey, D. and M. Lopez de Prado (2013): "The Strategy Approval Decision: A Sharpe Ratio Indifference Curve approach", Algorithmic Finance 2(1), pp. 99-109 Available at https://ssrn.com/abstract=2003638