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  • THE SHARPE RATIO
    ebook
    THE SHARPE RATIO
    STEVEN E. PAV
    The Sharpe ratio is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical propertiesof the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns and asymptotically. Conne...

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