The Sharpe ratio : (Record no. 23958)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02956cam a22001937i 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 9781032019314 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | English |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.63221 |
| Item number | PAV |
| 100 1# - MAIN ENTRY--AUTHOR NAME | |
| Author name | Pav, Steven E., |
| 245 14 - TITLE STATEMENT | |
| Title | The Sharpe ratio : |
| Sub Title | statistics and applications / |
| Statement of responsibility, etc | Steven E. Pav. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication | New York : |
| Name of publisher | CRC Press , |
| Year of publication | 2022. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | xxix, 470 pages : |
| Other physical details | illustrations ; |
| Dimensions | 23 cm. |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | I The Sharpe Ratio<br/>1. The Sharpe Ratio and the Signal-Noise Ratio<br/>2. The Sharpe Ratio for Gaussian Returns<br/>3. The Sharpe Ratio for Other Returns<br/>4. Overoptimism<br/><br/>II Maximizing the Signal-Noise Ratio<br/>5. Maximizing the Sharpe Ratio<br/>6. Portfolio Inference for Gaussian Returns<br/>7. Portfolio Inference for Other Returns<br/>8. Overoptimism and Overfitting<br/>9. Market Timing<br/>10. Backtesting<br/>Appendix A Prerequisites |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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 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, 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 Convex us 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Subject | Risk-return relationships. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Subject | Investment analysis. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Subject | Securities |
| Form subdivision | Valuation |
| General subdivision | Mathematical models |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Books |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Use restrictions | Not for loan | Collection code | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Bill Date | Full call number | Accession Number | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Restricted Access | Reference | Institute of Public Enterprise, Library | Institute of Public Enterprise, Library | S Campus | 08/11/2025 | Professional Book Services | 5383.13 | 04-08-2025 | 332.63221 PAV | 50637 | 08/11/2025 | Books |
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