General Sharpe Ratio Innovation with Levy Process and tis Performance in Different Stock Index
碩士 === 國立中山大學 === 財務管理學系研究所 === 99 === Sharpe ratio is extensively used in performance of portfolio. However, it is based on assumption that return follows normal distribution. In other words, when return in asset is not normal distribution, the Sharpe ratio is not meaningful. This research focuses...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/81996607477997257204 |