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The Sharpe Ratio: Statistics and Applications

Pav, Steven E.
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- 470 Pages
Published: 25/09/2023

£48.49
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Summary

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.

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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.

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