{"product_id":"sharpe-ratio-1","title":"Sharpe Ratio","description":"\u003cp\u003eThe Sharpe ratio is the most widely used metric for comparing the\u003cbr\u003eperformance of financial assets. The Markowitz portfolio is the portfolio with\u003cbr\u003ethe highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications \u003cbr\u003eexamines the statistical propertiesof the Sharpe ratio and Markowitz portfolio,\u003cbr\u003e both under the simplifying assumption of Gaussian returns and asymptotically. \u003cbr\u003eConnections are drawn between the financial measures and classical statistics including\u003cbr\u003eStudent's t, Hotelling's T^2, and the Hotelling-Lawley trace. \u003cbr\u003eThe robustness of these statistics to heteroskedasticity, autocorrelation, fat tails,\u003cbr\u003eand skew of returns are considered. The construction of portfolios to maximize\u003cbr\u003ethe Sharpe is expanded from the usual static unconditional model to include \u003cbr\u003esubspace constraints, heding out assets, and the use of conditioning information on \u003cbr\u003eboth expected returns and risk. {book title} is the most comprehensive\u003cbr\u003etreatment of the statistical properties of the Sharpe ratio and Markowitz\u003cbr\u003eportfolio ever published.\u003c\/p\u003e\u003cp\u003eFeatures:\u003c\/p\u003e\u003cp\u003e* Material on single asset problems, market timing,\u003cbr\u003e unconditional and conditional portfolio problems, hedged portfolios.\u003cbr\u003e* Inference via both Frequentist and Bayesian paradigms.\u003cbr\u003e*A comprehensive treatment of overoptimism and overfitting of trading\u003cbr\u003e strategies.\u003cbr\u003e*Advice on backtesting strategies.\u003cbr\u003e*Dozens of examples and hundreds of exercises for self study.\u003c\/p\u003e\u003cp\u003eThis book is an essential reference for \u003cbr\u003ethe practicing quant strategist and the researcher alike, \u003cbr\u003eand an invaluable textbook for the student.\u003c\/p\u003e\u003cp\u003eSteven E. Pav holds a PhD in mathematics from Carnegie Mellon University,\u003cbr\u003eand degrees in mathematics and ceramic engineering science\u003cbr\u003efrom Indiana University, Bloomington and Alfred University.\u003cbr\u003eHe was formerly a quantitative strategist at Convexus Advisors and Cerebellum\u003cbr\u003eCapital, and a quantitative analyst at Bank of America.\u003cbr\u003eHe is the author of a dozen R packages, including those for analyzing the \u003cbr\u003esignificance of the Sharpe ratio and Markowitz portfolio.\u003cbr\u003eHe writes about the Sharpe ratio at https:\/\/protect-us.mimecast.com\/s\/BUveCPNMYvt0vnwX8Cj689u?domain=sharperat.io .\u003c\/p\u003e","brand":"Taylor \u0026 Francis Ltd","offers":[{"title":"Default Title","offer_id":54248008286552,"sku":"9781032019307","price":132.99,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0278\/1295\/4195\/files\/9781032019307_6c93f125-c52f-4490-99dc-be23c17fccce.jpg?v=1781007351","url":"https:\/\/agendabookshop.com\/products\/sharpe-ratio-1","provider":"Agenda Bookshop","version":"1.0","type":"link"}