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    題名: 小樣本下夏普指數之統計推論
    其他題名: Sharpe ratio inference for small sample
    作者: 陳俊宇;Chen, Jun-Yu
    貢獻者: 淡江大學統計學系碩士班
    林志娟
    關鍵詞: 假設檢定;訊息矩陣;點估計;區間估計;模型穩健性;Hypothesis testing;information matrix;Interval Estimation;Point Estimate;Robust Model
    日期: 2016
    摘要: 近幾年來,我國金融市場隨著全球經濟環境的快速變遷而日漸開放,除了國內股票市場快速成長之外,各項金融商品也日趨多樣化,尤其共同基金具有匯集小錢變大錢、專業投資管理、分散投資風險、可快速贖回等優點,已逐漸受到一般投資大眾的青睞,儼然成為最新的投資工具。
    本研究的目的主要是探討在小樣本的時候夏普指數估計量的穩定度以及相關統計性質的推論。其中考慮了點估計、區間估計及假設檢定。另一方面本研究亦提出一個新的夏普指數的估計。
    In recent years, Taiwan's financial market has become a rapidly changing global economic environment and increasingly open. In addition to the rapid growth of the domestic stock markets, the financial products are becoming increasingly diverse. Mutual funds has gradually been favored by the general investing public, has become the latest investment tools due to professional investment management, diversify investment risks and quick redemption, etc.
    The purpose of this study is to discuss the small sample inferences stability and its statistical nature when Sharpe ratio estimator is adopted. Point estimation, interval estimation and hypothesis testing are considered in this research. On the other hand, a new estimate of the Sharpe ratio is proposed.
    顯示於類別:[統計學系暨研究所] 學位論文

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