Douglas Stone

Nicholas Applegate Capital Management

600 W. Broadway, 29th Floor

San Diego, CA 92101

United States

SCHOLARLY PAPERS

1

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232

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1

CROSSREF CITATIONS

6

Scholarly Papers (1)

Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights

UCSD Economics Discussion Paper 2000-27
Number of pages: 42 Posted: 12 Jan 2001
Tae-Hwan Kim, Douglas Stone and Halbert L. White Jr.
University of Nottingham - School of Economics, Nicholas Applegate Capital Management and University of California, San Diego (UCSD) - Department of Economics
Downloads 232 (186,666)
Citation 8

Abstract:

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Sharpe Style Regression, Non-negativity, Linear-Quadratic Optimization, Prior Density, Bayesian Highest Posterior Density Interval

Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights

Journal of Financial Econometrics, Vol. 3, pp. 315-343, 2005
Posted: 29 Feb 2008
Tae-Hwan Kim, Halbert L. White Jr. and Douglas Stone
University of Nottingham - School of Economics, University of California, San Diego (UCSD) - Department of Economics and Nicholas Applegate Capital Management

Abstract:

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Bayesian highest posterior density interval, linear-quadratic optimization, nonnegativity, Sharpe-style regression