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Probability theory / Statistical inference / Sharpe ratio / Mathematical finance / Standard deviation / Kurtosis / Normal distribution / Skewness / Estimation theory / Statistics / Financial ratios / Data analysis


Robust Portfolio Optimization with Value-At-Risk Adjusted Sharpe Ratios Geng Deng, PhD, CFA, FRM∗ Craig McCann, PhD, CFA‡ Tim Dulaney, PhD, FRM†
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Document Date: 2013-11-05 12:37:16

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Company

Ernst & Young / /

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IndustryTerm

insurance guarantee / /

MarketIndex

Dow Jones Credit Suisse Hedge Fund / /

Person

Tim Dulaney / Sharpe Ratio / Olivia Wang / Adjusted Sharpe Ratios Geng Deng / Craig McCann / /

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Position

Director of Research / Office / Senior Financial Economist / Office / President / Office / optimization model / our VaRSR model and the PSR model / /

Product

VaR / VaRSR / /

ProgrammingLanguage

L / /

Technology

pdf / /

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