Time aggregation of Sharpe Ratio : a better extrapolation rule
Ziemowit Bednarek, Pratish Patel and Cyrus Ramezani
| Year of publication: |
2018
|
|---|---|
| Authors: | Bednarek, Ziemowit ; Patel, Pratish ; Ramezani, Cyrus A. |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 16.2018, 4, p. 47-63
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| Subject: | Sharpe Ratio | bootstrap | GMM | √T rule | Bootstrap-Verfahren | Bootstrap approach | Portfolio-Management | Portfolio selection | Momentenmethode | Method of moments | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011961019