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

レコード種別:	コンピュータ・メディア : 単行資料
[NT 15000414] null:	332.63221
タイトル / 著者:	The Sharpe ratio : statistics and applications // Steven E. Pav.
著者:	Pav, Steven E.
出版された:	Boca Raton, FL : : CRC Press,, 2022.
記述:	1 online resource (1 v.) : : ill.
注記:	"A Chapman & Hall book."
主題:	Risk-return relationships.
主題:	Investment analysis.
国際標準図書番号 (ISBN) :	9781003181057
国際標準図書番号 (ISBN) :	1003181058
国際標準図書番号 (ISBN) :	9781000442717
国際標準図書番号 (ISBN) :	1000442713
国際標準図書番号 (ISBN) :	9781000442762
国際標準図書番号 (ISBN) :	1000442764
[NT 15000227] null:	Includes bibliographical references and index.
[NT 15000229] null:	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 /
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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

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