大葉大學圖書館 |

The Sharpe ratio[electronic resource] :statistics and applications /

紀錄類型:	書目-電子資源 : Monograph/item
杜威分類號:	332.63221
書名/作者:	The Sharpe ratio : statistics and applications // Steven E. Pav.
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.
標題:	Investment analysis.
ISBN:	9781003181057
ISBN:	1003181058
ISBN:	9781000442717
ISBN:	1000442713
ISBN:	9781000442762
ISBN:	1000442764
書目註:	Includes bibliographical references and index.
摘要、提要註:	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://www.taylorfrancis.com/books/9781003181057

The Sharpe ratio[electronic resource] :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:

767262
Risk-return relationships.

LC Class. No.: HG4529

Dewey Class. No.: 332.63221

The Sharpe ratio[electronic resource] :statistics and applications /
LDR:02142cmm a2200361 a 4500 001 539023
003 FlBoTFG
005 20211027010624.0
006 m o d
007 cr cnu---unuuu
008 231121s2022 flua ob 001 0 eng d
020 $a 9781003181057 $q (ebook)
020 $a 1003181058 $q (ebook)
020 $a 9781000442717 $q (ePDF)
020 $a 1000442713 $q (ePDF)
020 $a 9781000442762 $q (epub)
020 $a 1000442764 $q (epub)
020 $z 9781032019307 $q (hbk.)
020 $z 9781032019314 $q (pbk.)
024 8 $a 10.1201/9781003181057 $2 doi
035 $a 9781003181057
040 $a OCoLC-P $b eng $c OCoLC-P
041 0 $a eng
050 4 $a HG4529
082 0 4 $a 332.63221 $2 23
100 1 $a Pav, Steven E. $3 767261
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 767262
650 0 $a Investment analysis. $3 227127
856 4 0 $u https://www.taylorfrancis.com/books/9781003181057