At the 67th CFA Institute Annual Conference, held 4–7 May 2014 in Seattle, Robert Litterman interviewed William F. Sharpe to elicit his perspective on a number of investment issues, including the ...capital asset pricing model, asset allocation, behavioral finance, and retirement income.
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2.
Three "Practical" Economists Share Nobel Pool, Robert
Science (American Association for the Advancement of Science),
1990-Oct-26, Volume:
250, Issue:
4980
Journal Article
Peer reviewed
The 1990 Nobel Prize in Economic Sciences has been awarded to Harry Markowitz, Merton Miller and William Sharpe. Their achievements are discussed.
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"Hedge funds can manipulate the ratio to misrepresent their performance," adds Dr. WILLIAM F. SHARPE, a founder of Financial Engines, a Palo Alto, Calif., investment adviser and manager. He is on the ...board of a private family fund, but doesn't use his own ratio to evaluate hedge funds. "Anybody can game this," he says. "I could think of a way to have an infinite Sharpe Ratio." Her problem with the Sharpe Ratio is that it assumes that a fund's returns will remain even over time. "Many hedge-fund strategies have greater downside events," Ms. Sally Wong says. She favors another measure, the Sortino Ratio. That is similar to the Sharpe Ratio, but instead of using the standard deviation as the denominator, it uses downside deviation -- the amount a portfolio strays from its average downturn -- to distinguish between "good" and "bad" volatility. Even the namesake of that ratio is troubled by its use for evaluating hedge funds. "I think it's used too much because it makes hedge funds look good," says Frank Sortino, who developed the ratio 20 years ago and is director of the Pension Research Institute in San Francisco. "It's misleading to say the least," he adds. "I hate that they're using my name."
William F. Sharpe, Timken Professor Emeritus of Finance at the Stanford Graduate School of Business, was named a winner of the 1990 Nobel Memorial Prize in Economic Science for his work in developing ...models to aid investment decisions on Tuesday. Sharpe shared the award with Harry Markowitz of the City University of New York and Merton Miller of the University of Chicago. This is the seventh time in 10 years the Nobel economics prize has gone to Americans. Sharpe, 56, is the ninth Nobel laureate on the Stanford faculty and the first member of the Graduate School of Business faculty to win the award. Five other laureates are affiliated with the Hoover Institution at Stanford. (excerpt)
The winners of the Nobel Memorial Prize in Economic Science, Harry M. Markowitz, Merton H. Miller and William F. Sharpe, are briefly profiled. The three men created the theory of modern finance.
The Nobel Memorial Prize in Economic Science was awarded to three Americans, Harry Markowitz, Merton Miller and William Sharpe, whose work revolutionized the way that investment portfolios and ...corporate finances are managed.
Economists Harry Markowitz, William Sharpe and Merton Miller, winners of the Nobel Prize in Economic Science, are profiled.
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9.
Modern Portfolio Timing Berss, Marcia R
Forbes,
12/1990, Volume:
146, Issue:
14
Magazine Article
In 1990, William Sharpe won 1/3 of a Nobel Prize for work building on the efficient market theory that says no one can consistently beat the market because stocks are always rationally priced. Now, ...Sharpe is talking about how he can help investors beat the market. His business, Sharpe Associates (Los Altos, California), is based on a slight divergence from his basic theory that says that the market is efficient in a way that permits some participants to beat it. All they have to do is buy heavily when other investors are too poor to bid. The market is still "efficient" because the other investors are acting rationally in dumping stocks. Basically, Sharpe has gone from being an efficient market advocate to a market timer. He is also selling market timing tips guided by an exotic indicator that he calls the relative risk premium. This number represents the additional expected reward for bearing risk. Sharpe says that the average investor should ignore the relative risk premium because the good news (the market holds great opportunity) is offset by bad news (the average investor is poorer, and the economy is falling apart).
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