Copyright: © 2016 Sharpe DK, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Understanding the Correlation between Physical Activity and Clinical Depression in Women: A Review of the Literature Daphne K...

Markov regenerative processes (MRGPs) constitute a more general class of stochastic processes than traditional Markov processes. Markovian dependency, the first-order dependency, is the simplest and most important dependency in stochastic processes. Past history of a Markov chain is summarized in the current state and the behavior of the system thereafter only depends on the current state. Sojo...

We test whether the alpha of an investment relative to one’s existing portfolio can be used to improve out-of-sample performance (Sharpe ratio; Four-factor alpha). For the period 20002014, we confirm this for the Vanguard S&P 500 Index Fund and the Growth and Small Index Fund, which we extend by adding various Exchange Traded Funds. If one considers that our baseline funds may be proxies of the...

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 ...

Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this paper, we consider an economy populated by institutional investors alongside standard retail investors. In...

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...