| 000 -LEADER |
|---|
| fixed length control field |
04687cam a22006257i 4500 |
| 001 - CONTROL NUMBER |
|---|
| control field |
E-189 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
BD-ChUET |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20241028170124.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS |
|---|
| fixed length control field |
m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
|---|
| fixed length control field |
cr cnu---unuuu |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
210902s2021 flua o 000 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
|---|
| LC control number |
2021762360 |
| 015 ## - NATIONAL BIBLIOGRAPHY NUMBER |
|---|
| National bibliography number |
GBC1B9358 |
| Source |
bnb |
| 016 7# - NATIONAL BIBLIOGRAPHIC AGENCY CONTROL NUMBER |
|---|
| Record control number |
020273698 |
| Source |
Uk |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781000442717 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
1000442713 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781003181057 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
1003181058 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781000442762 |
| Qualifying information |
(electronic bk. ; |
| -- |
EPUB) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
1000442764 |
| Qualifying information |
(electronic bk. ; |
| -- |
EPUB) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| Canceled/invalid ISBN |
9781032019307 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| Canceled/invalid ISBN |
1032019301 |
| 024 7# - OTHER STANDARD IDENTIFIER |
|---|
| Standard number or code |
10.1201/9781003181057 |
| Source of number or code |
doi |
| 035 ## - SYSTEM CONTROL NUMBER |
|---|
| System control number |
(OCoLC)1266399904 |
| 037 ## - SOURCE OF ACQUISITION |
|---|
| Stock number |
9781003181057 |
| Source of stock number/acquisition |
Taylor & Francis |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
N$T |
| Language of cataloging |
eng |
| Description conventions |
rda |
| -- |
pn |
| Transcribing agency |
N$T |
| Modifying agency |
N$T |
| -- |
OCLCO |
| -- |
TYFRS |
| -- |
OCLCF |
| -- |
UKMGB |
| -- |
UKAHL |
| -- |
OCLCQ |
| -- |
OCLCO |
| -- |
OCLCQ |
| -- |
BD-ChUET |
| 042 ## - AUTHENTICATION CODE |
|---|
| Authentication code |
lccopycat |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG4529 |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
BUS |
| Subject category code subdivision |
027020 |
| Source |
bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
PBW |
| Source |
bicssc |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.63221/PAS |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Pav, Steven E., |
| Relator term |
author. |
| 245 14 - TITLE STATEMENT |
|---|
| Title |
The Sharpe ratio : |
| Remainder of title |
statistics and applications / |
| Statement of responsibility, etc. |
Steven E. Pav. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
|---|
| Place of publication, distribution, etc. |
Boca Raton : |
| Name of publisher, distributor, etc. |
Taylor and Francis, |
| Date of publication, distribution, etc. |
c2022. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
498 p.: |
| Other physical details |
illustrations (black and white) |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
|---|
| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 365 ## - TRADE PRICE |
|---|
| Price type code |
BDT |
| Price amount |
24375/= |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
The Sharpe ratio is the most widely used metric for comparing theperformance of financial assets. The Markowitz portfolio is the portfolio withthe highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical propertiesof the Sharpe ratio and Markowitz portfolio, both under the simplifyingassumption of Gaussian returns and asymptotically. Connections aredrawn between the financial measures and classical statistics includingStudent's t, Hotelling's T^2, and the Hotelling-Lawley trace. Therobustness of these statistics to heteroskedasticity, autocorrelation, fat tails, and skew of returns are considered. The construction of portfolios to maximizethe Sharpe is expanded from the usual static unconditional model to include subspace constraints, heding out assets, and the use of conditioning information on both expected returns and risk. {book title} is the most comprehensivetreatment of the statistical properties of the Sharpe ratio and Markowitzportfolio ever published. Features: * 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 book is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student. Steven E. Pav holds a PhD in mathematics from Carnegie Mellon University, and degrees in mathematics and ceramic engineering sciencefrom Indiana University, Bloomington and Alfred University.He was formerly a quantitative strategist at Convexus Advisors and CerebellumCapital, and a quantitative analyst at Bank of America.He is the author of a dozen R packages, including those for analyzing the significance of the Sharpe ratio and Markowitz portfolio.He writes about the Sharpe ratio at https://protect-us.mimecast.com/s/BUveCPNMYvt0vnwX8Cj689u?domain=sharperat.io. |
| 526 ## - STUDY PROGRAM INFORMATION NOTE |
|---|
| Program name/Department |
Mathematics |
| 545 0# - BIOGRAPHICAL OR HISTORICAL DATA |
|---|
| Biographical or historical data |
Steven E. Pav holds a PhD in mathematics from Carnegie Mellon University, and degrees in mathematics and ceramic engineering science from Indiana University, Bloomington and Alfred University. He was formerly a quantitative strategist at Convexus Advisors and Cerebellum Capital. He is the author of a dozen R packages, including those for analyzing the significance of the Sharpe ratio and Markowitz portfolio. He writes about the Sharpe ratio at http://www.sharperat.io. |
| 546 ## - LANGUAGE NOTE |
|---|
| Language note |
English |
| 588 0# - SOURCE OF DESCRIPTION NOTE |
|---|
| Source of description note |
Print version record. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Risk-return relationships. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Investment analysis. |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Rapport risque-rendement. |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Analyse financière. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Investment analysis. |
| Source of heading or term |
fast |
| Authority record control number or standard number |
(OCoLC)fst00978180 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Risk-return relationships. |
| Source of heading or term |
fast |
| Authority record control number or standard number |
(OCoLC)fst01749613 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Print version: |
| Main entry heading |
Pav, Steven E. |
| Title |
Sharpe ratio. |
| Place, publisher, and date of publication |
Boca Raton : Chapman & Hall/CRC, 2021 |
| International Standard Book Number |
9781032019307 |
| Record control number |
(OCoLC)1263797786 |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) |
|---|
| a |
7 |
| b |
cbc |
| c |
copycat |
| d |
1 |
| e |
ecip |
| f |
20 |
| g |
y-gencatlg |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Koha item type |
E-book |
