This paper develops a test of the asymptotic arbitrage pricing theory (APT) via the maximum squared Sharpe ratio of the factors extracted from individual stocks using the Connor-Korajczyk method. The test treats the beta pricing relation as approximate without predetermining the systematic factors, unlike the existing tests that take the relationship as exact and systematic factors as given. Th...

51 English translation © 2002 M.E. Sharpe, Inc., from the Russian text © 2001 V.M. Bekhterev Psychoneurological Research Institute. “Biopsikhosotsial’naia model’ shizofrenii,” Sbornik nauchnykh trudov Sankt-Peterburgskogo nauchnoissledovatel’skogo psikhonevrologicheskogo instituta im. V.M. Bekhtereva, 2001, 137, 230–41. Translated by the author. The author is associated with the V.M. Bekhterev ...

We propose market timing strategies aiming to exploit the aggregate accruals’ return forecasting power. We examine several performance metrics of the aggregate accruals based market timing strategy such as excess portfolio return, Sharpe ratio, and Jensen’s alpha. We provide robust evidence that, relative to the passive investment strategy of buying and holding the stock market, the market timi...

In this paper, assuming that returns follows a stationary and ergodic stochastic process, the asymptotic distribution of the natural estimator of the Sharpe Ratio is explicitly given. This distribution is used in order to define an approximated confidence interval for the Sharpe ratio. Particular attention is devoted to the case of the GARCH(1,1) process. In this latter case, a simulation study...

English translation © 2006 M.E. Sharpe, Inc., from the Russian text “Lichnost’, kul’tura, iazyk,” in Iazyk i rechevaia deiatel’nost’ v obshchei i pedagogicheskoi psikhologii (Moscow and Voronezh: IPO MODEK, 2001), pp. 119–28. Published with the permission of Dmitry A. Leontiev. Translated by Nora Favorov. Journal of Russian and East European Psychology, vol. 44, no. 3, May–June 2006, pp. 47–56....

We investigate the structure of the pricing kernels in a general dynamic investment setting by making use of their duality with the self financing portfolios. We generalize the variance bound on the intertemporal marginal rate of substitution introduced in Hansen and Jagannathan (1991) along two dimensions, first by looking at the variance of the pricing kernels over several trading periods, an...

Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overconfident investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contrast the implications of the two models using a survey of customers of an Italian leading bank with portfolio data and measures of...

Set-quality indicators have been used in Evolutionary Multiobjective Optimization Algorithms (EMOAs) to guide the search process. A new class of set-quality indicators, the Sharpe-Ratio Indicator, combining the selection of solutions with fitness assignment has been recently proposed. This class is based on a formulation of fitness assignment as a Portfolio Selection Problem which sees solution...