The Sharpe Ratio: Statistics and Applications

This book covers a wide range of topics in financial modeling, including single asset problems, market timing, portfolio problems, and hedging strategies. It provides inference via both frequentist and Bayesian paradigms and discusses overoptimism and overfitting in trading strategies. It also includes advice on backtesting and dozens of examples and exercises for self-study.

Format: Paperback / softback
Length: 470 pages
Publication date: 25 September 2023
Publisher: Taylor & Francis Ltd

Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios.

Inference via both Frequentist and Bayesian paradigms.

A comprehensive treatment of overoptimism and overfitting of trading strategies.

Advice on backtesting strategies.

Dozens of examples and hundreds of exercises for self study.

This comprehensive textbook covers a wide range of topics in financial economics, including single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios, inference via both Frequentist and Bayesian paradigms, overoptimism and overfitting of trading strategies, and backtesting strategies. It provides a thorough treatment of these topics, with dozens of examples and hundreds of exercises for self-study. The book is designed to be accessible to students with a basic understanding of economics and mathematics, and it includes detailed explanations and illustrations to help students understand the concepts and apply them to real-world situations. Whether you are a student, professional, or researcher in financial economics, this textbook is an essential resource for understanding the latest developments in the field and developing effective trading and investment strategies.

Weight: 453g
Dimension: 234 x 156 (mm)
ISBN-13: 9781032019314