… The t-statistic will equal the Sharpe Ratio times the square root of T (the … Sharpe Ratios
for a set of funds are computed using the same number of observations, the Sharpe Ratios will …

ONE OF THE PROBLEMS which has plagued those attempting to predict the behavior of
capital markets is the absence of a body of positive microeconomic theory dealing with …

This paper describes the advantages of using a particular model of the relationships among
securities for practical applications of the Markowitz portfolio analysis technique. A computer …

W ITHIN the last few years considerable progress has been made in three closely related
areas-the theory of portfolio selection, 1 the theory of the pricing of capital assets under …

This book provides a solid theoretical framework around which to build practical knowledge
of securities and securities markets. It offers a balanced presentation of theory and practice …

… Sharpe Associates. I am particularly grateful for the detailed comments and suggestions on
… those at Stanford University and at William F. Sharpe Associates for their contributions to my …

Statements such as these are made with alarming frequency by investment professionals.'In
some cases, subtle and sophisticated reasoning may be involved. More often (alas), the …

Once a set of asset classes has been defined, it is important to determine the exposures of
each component of an investor's overall portfolio to movements in their returns. Such …

As risky assets (eg, stocks) fluctuate in value, the value of a portfolio containing them may
change, as may their allocation relative to the safe assets (eg, bills) within the portfolio. One …

… riskless rate, a portfolio with a higher Sharpe ratio can be said to have dominated one with
a lower Sharpe ratio. To be more specific, let X have a higher Sharpe ratio than Y. Then, for …