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The Sharpe ratiostatistics and applications /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	The Sharpe ratioSteven E. Pav.
其他題名:	statistics and applications /
作者:	Pav, Steven E.
出版者:	Boca Raton, FL :CRC Press,2022.
面頁冊數:	1 online resource (1 v.) :ill.
附註:	"A Chapman & Hall book."
標題:	Risk-return relationships.
電子資源:	https://www.taylorfrancis.com/books/9781003181057
ISBN:	9781003181057$q(ebook)

The Sharpe ratiostatistics and applications /
Pav, Steven E.

The Sharpe ratiostatistics and applications /[electronic resource] :Steven E. Pav. - 1st ed. - Boca Raton, FL :CRC Press,2022. - 1 online resource (1 v.) :ill.

"A Chapman & Hall book."

Includes bibliographical references and index.

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.

ISBN: 9781003181057$q(ebook)

Standard No.: 10.1201/9781003181057doiSubjects--Topical Terms:

775483
Risk-return relationships.

LC Class. No.: HG4529

Dewey Class. No.: 332.63221

The Sharpe ratiostatistics and applications /
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245 1 4 $a The Sharpe ratio $h [electronic resource] : $b statistics and applications / $c Steven E. Pav.
250 $a 1st ed.
260 $a Boca Raton, FL : $b CRC Press, $c 2022.
300 $a 1 online resource (1 v.) : $b ill.
500 $a "A Chapman & Hall book."
504 $a Includes bibliographical references and index.
520 $a 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.
588 $a Description based on print version record.
650 0 $a Risk-return relationships. $3 775483
650 0 $a Investment analysis. $3 184941
856 4 0 $u https://www.taylorfrancis.com/books/9781003181057