The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/32318 |
Resumo: | The Sharpe ratio is one of the most widely used measures of risk-adjusted returns. It rests on the estimation of the mean and standard deviation of returns, which is subject to estimation errors. Moreover, it assumes identically and independently distributed returns, normality and no serial correlation, which are very restrictive assumptions in general. By using the Generalized Method of Moments approach to estimate these quantities, the assumptions may be relaxed and a more efficient estimator can be derived, by allowing serial correlation in returns. The purpose of this research is to show how serial correlation can affect the timeaggregation of Sharpe ratios, changing the ordering of a ranking of assets based on the ratio. |
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The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly dataserial correlationsharpe ratiotime-aggregationrisk-adjusted returnsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe Sharpe ratio is one of the most widely used measures of risk-adjusted returns. It rests on the estimation of the mean and standard deviation of returns, which is subject to estimation errors. Moreover, it assumes identically and independently distributed returns, normality and no serial correlation, which are very restrictive assumptions in general. By using the Generalized Method of Moments approach to estimate these quantities, the assumptions may be relaxed and a more efficient estimator can be derived, by allowing serial correlation in returns. The purpose of this research is to show how serial correlation can affect the timeaggregation of Sharpe ratios, changing the ordering of a ranking of assets based on the ratio.Silva, André CastroRUNAlves, Pedro Miguel Carregueiro Jordão2018-03-12T15:09:17Z2018-01-202018-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/32318TID:201861283enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:17:59Zoai:run.unl.pt:10362/32318Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:29:50.385701Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data |
title |
The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data |
spellingShingle |
The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data Alves, Pedro Miguel Carregueiro Jordão serial correlation sharpe ratio time-aggregation risk-adjusted returns Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data |
title_full |
The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data |
title_fullStr |
The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data |
title_full_unstemmed |
The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data |
title_sort |
The effect of serial correlation in time-aggregation of annual sharpe ratios from monthly data |
author |
Alves, Pedro Miguel Carregueiro Jordão |
author_facet |
Alves, Pedro Miguel Carregueiro Jordão |
author_role |
author |
dc.contributor.none.fl_str_mv |
Silva, André Castro RUN |
dc.contributor.author.fl_str_mv |
Alves, Pedro Miguel Carregueiro Jordão |
dc.subject.por.fl_str_mv |
serial correlation sharpe ratio time-aggregation risk-adjusted returns Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
serial correlation sharpe ratio time-aggregation risk-adjusted returns Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The Sharpe ratio is one of the most widely used measures of risk-adjusted returns. It rests on the estimation of the mean and standard deviation of returns, which is subject to estimation errors. Moreover, it assumes identically and independently distributed returns, normality and no serial correlation, which are very restrictive assumptions in general. By using the Generalized Method of Moments approach to estimate these quantities, the assumptions may be relaxed and a more efficient estimator can be derived, by allowing serial correlation in returns. The purpose of this research is to show how serial correlation can affect the timeaggregation of Sharpe ratios, changing the ordering of a ranking of assets based on the ratio. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-03-12T15:09:17Z 2018-01-20 2018-01-20T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/32318 TID:201861283 |
url |
http://hdl.handle.net/10362/32318 |
identifier_str_mv |
TID:201861283 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137923201761280 |