Timeline for Propagation of Errors of Sharpe Ratio
Current License: CC BY-SA 4.0
12 events
| when toggle format | what | by | license | comment | |
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| Feb 15, 2023 at 22:25 | comment | added | shabbychef | Thanks. If you're feeling particularly flushed, it exists in book form published by CRC Press: all the material of the SSC plus another whole text on the Markowitz portfolio and optimizing the Sharpe on portfolios, etc. | |
| Feb 15, 2023 at 22:20 | comment | added | oronimbus | @shabbychef Nice one thanks. Will have a look tomorrow. Your short Sharpe course seems rather comprehensive :) | |
| Feb 15, 2023 at 20:54 | comment | added | shabbychef | Some derivations of this also given in my Short Sharpe Course in section 4.1, generalizing to the case of e.g. autocorrelation, heteroskedasticity, and so on. | |
| Feb 15, 2023 at 20:52 | comment | added | shabbychef | In addition to Mertens' work, Bao derives a more detailed asymptotic approximation in terms of higher order moments. It is largely based on Central Limit Theorem and Delta Method. | |
| Jan 10, 2023 at 12:57 | vote | accept | oronimbus | ||
| Jan 4, 2023 at 10:30 | answer | added | oronimbus | timeline score: 4 | |
| Dec 24, 2022 at 7:46 | history | edited | oronimbus | CC BY-SA 4.0 |
Typo, removed square
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| Dec 24, 2022 at 7:45 | comment | added | oronimbus | That’s right, the final equation shows the standard error of the SR being proportional to the skewness and kurtosis of returns, which I think is a pretty nice result. | |
| Dec 23, 2022 at 21:00 | history | tweeted | twitter.com/StackQuant/status/1606394228438966274 | ||
| Dec 23, 2022 at 15:04 | comment | added | Bob Jansen♦ | @SuavestArt I believe $\mu_n$ denotes the $n$th central moment as done here: en.wikipedia.org/wiki/Central_moment#Univariate_moments | |
| Dec 23, 2022 at 14:15 | comment | added | SuavestArt | These subscripts on the mean don't make any sense to me as well. | |
| Dec 23, 2022 at 10:07 | history | asked | oronimbus | CC BY-SA 4.0 |