The statistics of capture ratios
The capture ratio is a widely used investment performance measure. We study the statistical
problem of estimating the capture ratio based on a finite number of observations of a fund's …
problem of estimating the capture ratio based on a finite number of observations of a fund's …
Several Mathematical Problems in Investment Management
R Jiang - 2023 - uwspace.uwaterloo.ca
This thesis studies four mathematical problems in investment management. All four
problems arise from practical challenges and are data-driven. Chapter 2 investigates the …
problems arise from practical challenges and are data-driven. Chapter 2 investigates the …