The Sharpe Ratio

ISBN-13: 9781032019314 / Miękka / 2023 / 470 str.

Steven E. Pav

Opis

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.

Spis treści

I The Sharpe Ratio
1. The Sharpe Ratio and the Signal-Noise Ratio
2. The Sharpe Ratio for Gaussian Returns
3. The Sharpe Ratio for Other Returns
4. Overoptimism

II Maximizing the Signal-Noise Ratio
5. Maximizing the Sharpe Ratio
6. Portfolio Inference for Gaussian Returns
7. Portfolio Inference for Other Returns
8. Overoptimism and Overfitting
9. Market Timing
10. Backtesting
Appendix A Prerequisites

O autorze

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. 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 http://www.sharperat.io/ .