Persistence on Performance of Mutual Fund: Value at Risk Method
碩士 === 國立高雄第一科技大學 === 財務管理所 === 96 === This study modifies the standard deviation bias of Sharpe ratio with VaR method for different confidence levels by using “reward-to-VaR ratio” introduced by Alexander and Baptista (2003). We compare reward-to-VaR ratio with Sharpe ratio, Treynor ratio, and Jens...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/j948xe |