Название: The Sharpe Ratio: Statistics and Applications
Автор: Steven E. Pav
Издательство: CRC Press
Год: 2022
Страниц: 501
Язык: английский
Формат: pdf (true)
Размер: 17.8 MB
The book "The Sharpe Ratio: Statistics and Applications" written by Steven E. Pav provides an excellent and important contribution to quantitative finance literature. It develops statistical theory for characterizing the properties of the estimated Sharpe ratio and optimal portfolios. Valuable theoretical results are obtained under several assumptions imposed on the distribution of asset returns. Statistical inference procedures, like point estimation, interval estimation, as well as test theory, are developed for the estimators of the Sharpe ratio and optimal portfolios. The author presents the results derived using methods of both the frequentist statistics and Bayesian statistics. The developed theory is illustrated in several real-life examples.
Автор: Steven E. Pav
Издательство: CRC Press
Год: 2022
Страниц: 501
Язык: английский
Формат: pdf (true)
Размер: 17.8 MB
The book "The Sharpe Ratio: Statistics and Applications" written by Steven E. Pav provides an excellent and important contribution to quantitative finance literature. It develops statistical theory for characterizing the properties of the estimated Sharpe ratio and optimal portfolios. Valuable theoretical results are obtained under several assumptions imposed on the distribution of asset returns. Statistical inference procedures, like point estimation, interval estimation, as well as test theory, are developed for the estimators of the Sharpe ratio and optimal portfolios. The author presents the results derived using methods of both the frequentist statistics and Bayesian statistics. The developed theory is illustrated in several real-life examples.