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The Sharpe ratio = statistics and applications /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	The Sharpe ratio/ Steven 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:	Investment analysis. -
電子資源:	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:

557689
Investment analysis.

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.
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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 Investment analysis. $3 557689
650 0 $a Risk-return relationships. $3 1139827
856 4 0 $u https://www.taylorfrancis.com/books/9781003181057