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The Sharpe Ratio: Statistics and Applications
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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.
Connections are drawn between the financial measures and classical statistics including
Student's t, Hotelling's T^2, and t...