Journal of East China Normal University(Natural Sc ›› 2008, Vol. 2008 ›› Issue (5): 27-34.

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Some theorems about the H-value rule(Chinese)

LIANG Yi-kong1,CHAI Jun2   

  1. 1.College of Fundamental Studies, Shanghai University of Engineer Science, Shanghai 201600, China; 2.Department of Mathematics, East China Normal University, Shanghai 200241,China
  • Received:2007-11-27 Revised:2008-01-04 Online:2008-09-25 Published:2008-09-25
  • Contact: CHAI Jun

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Abstract: Further study was given in this paper to the H value as a standard for evaluation of the quality of a security set. The H
value in terms of its related parameters was characterized. An
inequality which the changed H value satisfies after removing the
"worst" security from the set was proved.

Key words: Treynor ratio, marketi ndex model, number of the securities , H-value, Treynor ratio, marketi ndex model, number of the securities

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