WebbDetails. The Sharpe ratio (Sharpe 1992) is one industry standard for measuring the absolute risk adjusted performance of hedge funds. This function performs the testing … WebbSharpe, W., 1966, “Mutual Fund Performance,” The Journal of Business, 39, 119–138. CrossRef Google Scholar Treynor, J. and K. Mazury, 1966, “Can Mutual Funds Outguess …
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Webb1 jan. 2016 · Of the 14 models we evaluate across seven empirical datasets, none is consistently better than the 1/N rule in terms of Sharpe ratio, certainty-equivalent return, … WebbWilliam Forsyth Sharpe (born June 16, 1934) is an American economist. He is the STANCO 25 Professor of Finance, Emeritus at Stanford University's Graduate School of Business, … shuang qiu umich google scholar
A Simplified Model for Portfolio Analysis - Research Papers in …
WebbSharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(1), 119-138. has been cited by the following article: Article Can Mutual Funds Outguess the Market: … WebbFor another discussion of this relationship see W. F. Sharpe, "A Simplified Model for Portfolio Analysis," Management Science, Vol. 9, No. 2 (January 1963), 277-293. A … Webb1 Post-doctoral Fellow and Visiting Assistant Professor at the Kellogg School of Management, Northwestern University, 2001 Sheridan Rd, Evanston, IL 60208, USA. 2 … the o show in las vegas