資料來源: Google Book

The Sharpe ratio[electronic resource] :statistics and applications

  • 作者: Pav, Steven E.
  • 出版: Boca Raton, FL : CRC Press 2022.
  • 版本: 1st ed.
  • 稽核項: 1 online resource (1 v.) :ill.
  • 標題: Investment analysis. , Risk-return relationships.
  • ISBN: 1000442764 , 9781000442762
  • ISBN: 9781032019307 , 9781032019314
  • 試查全文@TNUA:
  • 附註: "A Chapman & Hall book." Includes bibliographical references and index.
  • 摘要: The Sharpe ratio is the most widely used metric for comparing theperformance of financial assets. The Markowitz portfolio is the portfolio withthe highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical propertiesof the Sharpe ratio and Markowitz portfolio, both under the simplifyingassumption of Gaussian returns and asymptotically. Connections aredrawn between the financial measures and classical statistics including Student's t, Hotelling's T 2, and the Hotelling-Lawley trace. Therobustness of these statistics to heteroskedasticity, autocorrelation, fat tails,and skew of returns are considered. The construction of portfolios to maximizethe Sharpe is expanded from the usual static unconditional model to include subspace constraints, heding out assets, and the use of conditioning information on both expected returns and risk. {book title} is the most comprehensivetreatment of the statistical properties of the Sharpe ratio and Markowitzportfolio ever published.
  • 電子資源: https://dbs.tnua.edu.tw/login?url=https://www.taylorfrancis.com/books/9781003181057
  • 系統號: 005331915
  • 資料類型: 電子書
  • 讀者標籤: 需登入
  • 引用網址: 複製連結
The Sharpe Ratio: Statistics and Applications is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical properties of the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns, and asymptotically. Connections are drawn between the financial measures and classical statistics including Student's t, Hotelling's T^2 and the Hotelling-Lawley trace. The robustness of these statistics to heteroskedasticity, autocorrelation, fat tails and skew of returns are considered. The construction of portfolios to maximize the Sharpe is expanded from the usual static unconditional model to include subspace constraints, hedging out assets, and the use of conditioning information on both expected returns and risk. The Sharpe Ratio: Statistics and Applications is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: 1. Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. 2. Inference via both Frequentist and Bayesian paradigms. 3. A comprehensive treatment of overoptimism and overfitting of trading strategies. 4. Advice on backtesting strategies. 5. Dozens of examples and hundreds of exercises for self study. The Sharpe Ratio: Statistics and Applications is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student.
來源: Google Book
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