Название: The Sharpe Ratio: Statistics and Applications
Автор: Steven E. Pav
Издательство: CRC Press
Год: 2022
Страниц: 501
Язык: английский
Формат: pdf (true)
Размер: 17.8 MB

The book "The Sharpe Ratio: Statistics and Applications" written by Steven E. Pav provides an excellent and important contribution to quantitative finance literature. It develops statistical theory for characterizing the properties of the estimated Sharpe ratio and optimal portfolios. Valuable theoretical results are obtained under several assumptions imposed on the distribution of asset returns. Statistical inference procedures, like point estimation, interval estimation, as well as test theory, are developed for the estimators of the Sharpe ratio and optimal portfolios. The author presents the results derived using methods of both the frequentist statistics and Bayesian statistics. The developed theory is illustrated in several real-life examples.

Two R packages, SharpeR and MarkowitzR, developed by the author provide very helpful technical support for the implementation of the theory. The results from matrix algebra, probability theory, and statistics presented at the end of the book give necessary mathematical background for better understanding of its main part.

Quantitative methods are important tool for research in economics and finance. Due to the rapid development of computer power and programming methods it becomes now possible to deal with a large amount of data and to analyse complex systems. On the other side, this requires the derivation of new mathematical and statistical methods needed to solve challenging tasks arising in financial applications, in particular when an optimal portfolio is constructed.

Features:

1. Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios.
2. Inference via both Frequentist and Bayesian paradigms.
3. A comprehensive treatment of overoptimism and overfitting of trading strategies.
4. Advice on backtesting strategies.
5. Dozens of examples and hundreds of exercises for self study.

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.