A crucial assumption for the single-period representation of a portfolio's performance, namely, the Sharpe ratio, to be valid is the stationary in the distributions of a portfolio's excess returns R1,…,RT. In literature, the most often adopted stationary assumption is the i.i.d. excess returns...

"This four-volume handbook covers important topics in the fields of investment analysis, portfolio management, and financial derivatives. Investment analysis papers cover technical analysis, fundamental analysis, contrarian analysis, and dynamic asset allocation. Portfolio analysis papers...

A Brief Review of the Errors-in-Variables Problem in Asset Pricing Tests -- A Comparison of Formulas to Compute Implied Standard Deviation -- A Critical Evaluation of the Portfolio Performance Indices Under Rank Transformation -- A Fuzzy Real Option Valuation Approach To Capital Budgeting Under...