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The Sharpe ratio = statistics and applications /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	The Sharpe ratio/ Steven E. Pav.
Reminder of title:	statistics and applications /
Author:	Pav, Steven E.
Published:	Boca Raton, FL :CRC Press, : 2022.,
Description:	1 online resource (1 v.) :ill. :
Notes:	"A Chapman & Hall book."
Subject:	Risk-return relationships. -
Online resource:	https://www.taylorfrancis.com/books/9781003181057
ISBN:	9781003181057

The Sharpe ratio = statistics 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

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

1139827
Risk-return relationships.

LC Class. No.: HG4529

Dewey Class. No.: 332.63221

The Sharpe ratio = statistics 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 1139827
650 0 $a Investment analysis. $3 557689
856 4 0 $u https://www.taylorfrancis.com/books/9781003181057