نتایج جستجو برای: sharpe
تعداد نتایج: 1434 فیلتر نتایج به سال:
A simple valuation model with time varying investment opportunities is developed and estimated. The model assumes that the investment opportunity set is completely described by the real interest rate and the maximum Sharpe ratio, which follow correlated Ornstein-Uhlenbeck processes. The model parameters and time series of the state variables are estimated using US Treasury bond yields and expec...
This paper aims to develop a feasible estimator of the Sharpe ratio that investor would expect from estimated efficient portfolios. Based on analytical expression expected ratio, we construct an captures all errors involved in We conduct simulation study and find our delivers lowest mean square error with comparison existing estimators. Our result is robust sample size, number assets non-normal...
This thesis consists of three essays in capital markets. The first essay presents a dynamic asset pricing model with heterogeneously informed agents. Unlike previous research, the general case where differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations is studied. In particular, it is proved that the model...
The phase structure of zero temperature twisted mass lattice QCD is investigated. We find strong metastabilities in the plaquette observable when the untwisted quark mass assumes positive or negative values. We provide interpretations of this phenomenon in terms of chiral symmetry breaking and the effective potential model of Sharpe and Singleton.
How to cite this article: S. Walker, J. Walker, G. Richardson, S. Palmer, Q. Wu, S. Gilbody, P. Martin, C. Holm Hansen, A. Sawhney, G. Murray, M. Sculpher and M. Sharpe Cost-effectiveness of combining systematic identication and treatment of co-morbid major depression for people with chronic diseases: the example of cancer. Psychological Medicine, Available on CJO 2013 doi:10.1017/S00332917130...
From The Beatrice and Samuel A. Seater Laboratory, Division of Hematology-Ontology, Department of Meriting Cornell Unit~ersity Medical College, New York, New York 10021; the *Department of Biochemical and Molecular Pathology, Merck, Sharpe & Dohme Research Laboratories, Rahway, New Jersey 07065; and the *Division of Immunology, Beckman Research Institute of the City of Hope, Duarte, California ...
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