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The Sharpe Ratio: Statistiken und Anwendungen von Steven E. Pav Taschenbuch-
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eBay-Artikelnr.:396917835714
Artikelmerkmale
- Artikelzustand
- ISBN-13
- 9781032019314
- Type
- NA
- Publication Name
- NA
- ISBN
- 9781032019314
Über dieses Produkt
Product Identifiers
Publisher
CRC Press LLC
ISBN-10
103201931X
ISBN-13
9781032019314
eBay Product ID (ePID)
12062624910
Product Key Features
Book Title
Sharpe Ratio : Statistics and Applications
Number of Pages
470 Pages
Language
English
Publication Year
2023
Topic
Finance / Financial Risk Management, Probability & Statistics / General, Finance / General
Illustrator
Yes
Genre
Mathematics, Business & Economics
Format
Trade Paperback
Dimensions
Item Length
9.2 in
Item Width
6.1 in
Additional Product Features
Intended Audience
Trade
TitleLeading
The
Dewey Edition
23
Dewey Decimal
332.63221
Synopsis
The Sharpe ratio 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 Applications examines the statistical propertiesof 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, heding out assets, and the use of conditioning information on both expected returns and risk. {book title} is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: * Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. * Inference via both Frequentist and Bayesian paradigms. *A comprehensive treatment of overoptimism and overfitting of trading strategies. *Advice on backtesting strategies. *Dozens of examples and hundreds of exercises for self study. This book is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student. Steven E. Pav holds a PhD in mathematics from Carnegie Mellon University, and degrees in mathematics and ceramic engineering science from Indiana University, Bloomington and Alfred University. He was formerly a quantitative strategist at Convexus Advisors and Cerebellum Capital, and a quantitative analyst at Bank of America. He is the author of a dozen R packages, including those for analyzing the significance of the Sharpe ratio and Markowitz portfolio. He writes about the Sharpe ratio at https: //protect-us.mimecast.com/s/BUveCPNMYvt0vnwX8Cj689u?domain=sharperat.io ., The Sharpe Ratio: Statistics and Applications is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student. It is the most widely used metric for comparing the performance of financial assets., The Sharpe ratio 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 Applications examines the statistical propertiesof 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, heding out assets, and the use of conditioning information on both expected returns and risk. {book title} is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: * Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. * Inference via both Frequentist and Bayesian paradigms. *A comprehensive treatment of overoptimism and overfitting of trading strategies. *Advice on backtesting strategies. *Dozens of examples and hundreds of exercises for self study. This book is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student. Steven E. Pav holds a PhD in mathematics from Carnegie Mellon University, and degrees in mathematics and ceramic engineering science from Indiana University, Bloomington and Alfred University. He was formerly a quantitative strategist at Convexus Advisors and Cerebellum Capital, and a quantitative analyst at Bank of America. He is the author of a dozen R packages, including those for analyzing the significance of the Sharpe ratio and Markowitz portfolio. He writes about the Sharpe ratio at https: //protect-us.mimecast.com/s/BUveCPNMYvt0vnwX8Cj689u?domain=sharperat.io
LC Classification Number
HG5740.5.Z95
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grandeagleretail
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- w***i (874)- Bewertung vom Käufer.Letzter MonatBestätigter KaufAbsolutely Wonderful Seller!! Terrific Item As Described!!! Great Service and Communication!! Shipped In Waterproof Packaging!! I Received Item In About One Week!! Very Pleased With Seller! I Will Buy From This Seller Again!!
- e***_ (17)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufSeller handles a massive inventory so I give them grace on the slow processing and shipping. They were very communicative and prompt with their response when I messaged in asking about it. Book was in good condition as described. Small ding on the page edges which wasn't mentioned, but that's fairly common even at your typical book store. Still a good value and I'd buy from them again.
- 0***i (5)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufThe first item arrived with some damage to the inside back cover, but the seller responded immediately, assuring me they’d provide a replacement, and even told me I could keep the original. They were upfront about a short delay, and gave a clear estimated ship date, and followed up right on time once it shipped. The replacement arrived in perfect condition and exactly as described. I really appreciated their transparency and professionalism. Would definitely buy from them again!
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grandeagleretail
98,3% positive Bewertungen•2,8 Mio. Artikel verkauft
Angemeldet als gewerblicher Verkäufer
Verkäuferbewertungen (1.055.159)
- w***i (874)- Bewertung vom Käufer.Letzter MonatBestätigter KaufAbsolutely Wonderful Seller!! Terrific Item As Described!!! Great Service and Communication!! Shipped In Waterproof Packaging!! I Received Item In About One Week!! Very Pleased With Seller! I Will Buy From This Seller Again!!
- e***_ (17)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufSeller handles a massive inventory so I give them grace on the slow processing and shipping. They were very communicative and prompt with their response when I messaged in asking about it. Book was in good condition as described. Small ding on the page edges which wasn't mentioned, but that's fairly common even at your typical book store. Still a good value and I'd buy from them again.
- 0***i (5)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufThe first item arrived with some damage to the inside back cover, but the seller responded immediately, assuring me they’d provide a replacement, and even told me I could keep the original. They were upfront about a short delay, and gave a clear estimated ship date, and followed up right on time once it shipped. The replacement arrived in perfect condition and exactly as described. I really appreciated their transparency and professionalism. Would definitely buy from them again!