Search "Sharpe ratio"

Peterson, Steven - Investment Theory and Risk Management, ebook

Investment Theory and Risk Management

Peterson, Steven


In addition to showing how investment performance can be evaluated, using Jensen's Alpha, Sharpe's Ratio, and DDM, he delves into four types of optimal portfolios (one that is fully invested, one with targeted returns, another with no short sales, and one with capped

Alexander, Carol - Market Risk Analysis: Quantitative Methods in Finance, ebook

Market Risk Analysis: Quantitative Methods in Finance

Alexander, Carol


Empirical examples and case studies specific to this volume include:
Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and