Approximating the Confidence Intervals for Sharpe Style Weights
نویسندگان
چکیده
منابع مشابه
Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights
Sharpe style regression has become a widespread analytic tool in the financial community. The style regression allows one to investigate such interesting issues as style composition, style sensitivity, and style change over time. All previous methods to obtain the distribution and confidence intervals of the style coefficients are statistically valid only in the special case in which none of th...
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Sharpe style regression has become a widespread analytic tool in the financial community. The style regression allows one to investigate such interesting issues as style composition, style sensitivity, and style change over time. All previous methods to obtain the distribution and confidence intervals of the style coefficients are statistically valid only in the special case in which none of th...
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ژورنال
عنوان ژورنال: Financial Analysts Journal
سال: 1997
ISSN: 0015-198X
DOI: 10.2469/faj.v53.n4.2103