摘要
本文介绍了普通Sharpe指数和瞬时Sharpe指数的概念,我们分析了它们之间的关系,并通过实证研究,我们认为瞬时厦普指数更能反映基金实际水平。
This paper introduces the sharpe index, instantaneous sharpe index and Jenson index. We analyze the relation between sharpe index and instantaneous, Sharpe index. From an example, the result shows that the instantaneous Sharpe index can give better estimation than the sharpe index.
出处
《运筹与管理》
CSCD
2005年第4期136-139,共4页
Operations Research and Management Science
关键词
厦普指数
基金
回报率
标准差
sharpe index
funds
return ratio
standard deviation
