First of all, given the cross-dependency between the portfolio and the benchmark returns, we derive the analytic expression of the asymptotic variance of the IR and we show explicitly how the higher order covariance influence the precision of the variance estimation.
What does ASVAR stand for?
ASVAR stands for Asymptotic Variance
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- Auxiliaire Spécialisée Vétérinaire (French: Specialized Veterinary Assistant)
- Average System Value
- Avian Sarcoma Virus
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- Associazione Solidarieta Volontariato A Domicilio (Italian: Solidarity Volunteer Association at Home; Alzheimer's organization)
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- Advanced Static VAR Compensator
- Application Specific Virtual Component
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Samples in periodicals archive:
However, this is not correct, not even asymptotically; in fact, a simple calculation of the asymptotic variance in this simplified model (where the number of remaining individuals of a given colour has a hypergeometric distribution) yields (4/27)n instead of n/9.
point counting, our method will also provide an estimate of the asymptotic variance, and thus yield valuable additional information.
In a first section, we recall a result from Lo (2002) and gives another proof for the derivation of the asymptotic variance of the Sharpe ratio statistics, SR, when the returns are supposed to be i.
2] is the asymptotic variance of the observed return on real estate.