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 The time aggregation of Sharpe ratio. An application to American investment funds
Наименование:

The time aggregation of Sharpe ratio. An application to American investment funds

автор Jose D.y.P. издательство Книга по Требованию Искусство управления в организации
Cтраниц 108        мягкая обложка       
Аннотация:Based on a theorem proposed by Diebold (1986, 1988) we verify that the most common method for time aggregation, the product of the higher-frequency SR by the square root of the number of periods contained in the lower-frequency holding period, can still be used in the presence of heteroskedasticity, if higher-frequency returns have been generated by a GARCH process. The results are in accordance with Lo (2002). Moreover, we show that serial correlation tends to disappear when the number of periods in the aggregation process tends to infinity and the most common method of SR time aggregation should not be disregarded as a valid method. More than four decades have passed and the Sharpe Ratio (SR) continues to be one of the most popular portfolio risk adjusted performance measures. In this monograph we comment on Lo’s (2002) results for the time aggregation of SR considering a different approach to deal with the conditional heteroskedasticity of returns. In an empirical application based on 65 investment funds, the convergence to normality is illustrated, showing that in 70% of the cases the convergence is held at least when daily returns are aggregated into annual frequency.
Автор: Jose D.y.P.
Издательство: Книга по Требованию
Год:2009
Цена:
1996 руб
Нет в наличии
Поиск: The time aggregation of Sharpe ratio. An application to American investment funds
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
Ортомолекулярная медицина Orthomol Устрание причин заболеваний. Ортомоль это новый метод для лечения и профилактики болезней. Orthomol - ортомолекулярная медицина.
Russia and the international economy

Alo gside wi h o her provisio s his program shall embrace cus oms ariff ra es pla ed for he year i ques io as well as he ba d of heir possible fluc ua io , hus maki g he foreig rade more predic able. he Gover me has he righ o i roduce expor a d impor qua i a ive res ric io s o a io al securi y grou ds, o comply wi h i er a io al agreeme s or o pro ec he domes ic marke , however, hese measures shall be a ou ced o less ha 3 mo hs prior o heir ac ual i roduc io . he law e visages a possibili y o i roduce s a e mo opoly for rade i cer ai produc s. I his case a special procedure of lice si g impor a d expor opera io s exclusively o s a e-ow ed e erprises shall be applied.  As he above me io ed law was effec ua ed, he Commissio of he RF Gover me o Safeguard Measures i Foreig rade became fully legi ima e a d i December i received "Procedures of I ves iga io Prior o Applica io of Safeguard Measures" approved by he MFER (Russ.abbr. MVES). A possibili y o apply safeguard measures agai s compe i ive impor ed produc s complies wi h usual prac ices applicable i he world rade.
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