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Jensen's alpha is a statistic that is commonly used in empirical finance to assess the marginal return associated with unit exposure to a given strategy. Generalizing the above definition to the multifactor setting, Jensen's alpha is a measure of the marginal return associated with an additional strategy that is not explained by existing factors.
Jensen's inequality generalizes the statement that a secant line of a convex function lies above its graph. Visualizing convexity and Jensen's inequality. In mathematics, Jensen's inequality, named after the Danish mathematician Johan Jensen, relates the value of a convex function of an integral to the integral of the convex function.
A mathematical constant is a key number whose value is fixed by an unambiguous definition, often referred to by a symbol (e.g., an alphabet letter), or by mathematicians' names to facilitate using it across multiple mathematical problems. [1]
A positive Jensen's alpha indicates that managers of the fund have been able to extract higher returns than the market. Skip to main content. Sign in. Mail. 24/7 Help. For premium support please ...
This measure became known as Jensen's alpha, and became widely used to measure the performance of mutual funds and other investments by both academics and practitioners. Jensen's best-known work is the 1976 Journal of Financial Economics article he co-authored with William H. Meckling , "Theory of the Firm: Managerial Behavior, Agency Costs and ...
Multi-index notation is a mathematical notation that simplifies formulas used in multivariable calculus, partial differential equations and the theory of distributions, by generalising the concept of an integer index to an ordered tuple of indices.
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Jensen's modification of the L hierarchy retains this property and the slightly weaker condition that + = (), but is also closed under pairing. The key technique is to encode hereditarily definable sets over J α {\displaystyle J_{\alpha }} by codes; then J α + 1 {\displaystyle J_{\alpha +1}} will contain all sets whose codes are in J α ...