English | 2021 | ISBN: 1032019301 | 501 pages | True PDF | 17.77 MB
The Sharpe Ratio: Statistics and Applications is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio.The Sharpe Ratio: Statistics and Applicationsexamines the statistical properties of the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns, and asymptotically. Connections are drawn between the financial measures and classical statistics including Student's t, Hotelling's T^2 and the Hotelling-Lawley trace. The robustness of these statistics to heteroskedasticity, autocorrelation, fat tails and skew of returns are considered. The construction of portfolios to maximize the Sharpe is expanded from the usual static unconditional model to include subspace constraints, hedging out assets, and the use of conditioning information on both expected returns and risk.The Sharpe Ratio: Statistics and Applicationsis the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published.
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