Sharpe Ratios and Alphas in Continuous Time

2003 ◽  
Author(s):  
Lars Tyge Tyge Nielsen ◽  
Maria Vassalou
Keyword(s):  
Continuous Time ◽  
Sharpe Ratios

Sharpe Ratios and Alphas in Continuous Time

2004 ◽  
Vol 39 (1) ◽  
pp. 103-114 ◽  
Author(s):  
Lars Tyge Nielsen ◽  
Maria Vassalou
Keyword(s):  
Continuous Time ◽  
Sharpe Ratio ◽  
Continuous Time Model ◽  
Time Model ◽  
Time Performance ◽  
Optimal Portfolio Selection ◽  
Dynamic Portfolio ◽  
Sharpe Ratios ◽  
The One ◽  
Riskless Asset

AbstractThis paper proposes modified versions of the Sharpe ratio and Jensen's alpha, which are appropriate in a simple continuous-time model. Both are derived from optimal portfolio selection. The modified Sharpe ratio equals the ordinary Sharpe ratio plus half of the volatility of the fund. The modified alpha also differs from the ordinary alpha by a second-moment adjustment. The modified and the ordinary Sharpe ratios may rank funds differently. In particular, if two funds have the same ordinary Sharpe ratio, then the one with the higher volatility will rank higher according to the modified Sharpe ratio. This is justified by the underlying dynamic portfolio theory. Unlike their discrete-time versions, the continuous-time performance measures take into account that it is optimal for investors to change the fractions of their wealth held in the fund vs. the riskless asset over time.

Sharpe Ratios and Alphas in Continuous Time

CFA Digest ◽  
2004 ◽  
Vol 34 (4) ◽  
pp. 74-75
Author(s):  
C. Mitchell Conover
Keyword(s):  
Continuous Time ◽  
Sharpe Ratios

Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

2007 ◽  
Vol 44 (02) ◽  
pp. 285-294 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Asymptotic Formula ◽  
Continuous Time ◽  
Heavy Tails ◽  
Tail Behavior ◽  
Renewal Model ◽  
Discounted Aggregate Claims ◽  
Aggregate Claims ◽  
Tail Asymptotic

We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.

Hierarchical Bayesian continuous time dynamic modeling.

2018 ◽  
Vol 23 (4) ◽  
pp. 774-799 ◽  
Author(s):  
Charles C. Driver ◽  
Manuel C. Voelkle
Keyword(s):  
Dynamic Modeling ◽  
Continuous Time ◽  
Hierarchical Bayesian ◽  
Time Dynamic

Continuous Time Controller Design

IEE Review ◽  
1991 ◽  
Vol 37 (6) ◽  
pp. 228
Author(s):  
Stephen Barnett
Keyword(s):  
Continuous Time ◽  
Controller Design
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