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A note on trader Sharpe Ratios. [PDF]
PLoS ONE, 2009 Traders in the financial world are assessed by the amount of money they make and, increasingly, by the amount of money they make per unit of risk taken, a measure known as the Sharpe Ratio.
John M Coates, Lionel Page
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Some Results on Bivariate Squared Maximum Sharpe Ratio
RisksThe Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets.
Ali Dastbaravarde, Ali Dolati
exaly +3 more sources
Determinant of Islamic Mutual Fund Performance: A Comparative Study Between Indonesia and Malaysia
Equilibrium: Jurnal Ekonomi Syariah, 2021 This study aims to analyze determinant performance of Islamic equity funds and compare the performance of Indonesian Islamic equity funds with Malaysian Islamic equity funds period 2017-2019.
Mohammad Nur Rianto Al Arif +1 more
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BMJ Open, 2023 Objectives We sought to compare the temporal trends in the incidence of death and rehospitalisation for congestive heart failure (CHF) following anterior ST-elevation myocardial infarction (STEMI) in a Medicare cohort of beneficiaries treated with ...
Jack Martin
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Re-Evaluating Sharpe Ratio in Hedge Fund Performance in Light of Liquidity Risk
Journal of Banking and Financial Economics, 2021 This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of “total risk” in the denominator of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds that is ...
Richard Van Horne
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Cephalalgia Reports, 2023 Background/Hypothesis: Atogepant, an oral calcitonin gene-related peptide receptor antagonist, is approved for the preventive treatment of migraine in adults.
Ramesh Boinpally +11 more
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Semestre Económico, 2023 El trabajo tiene como objetivo cuantificar el efecto de la pandemia Covid-19 en el mercado de valores de Colombia mediante un análisis comparativo de dos períodos de 483 días bursátiles cada uno: uno antes de la pandemia y otro durante la pandemia. Esto
Álvaro Gomez Osorio +2 more
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Performance-Risk Nexus of Global Low-Rated ETFs During the QE-Tapering Period
Studies in Business and Economics, 2020 This study investigates the performance of 50 global, one star (based on Morningstar rankings), ETFs during the US QE-tapering period starting in October 2014 up to September 2018, using the S&P500 as the market index.
Anastasiadis Panagiotis +3 more
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OTIMIZAÇÃO DE PORTFÓLIOS: ANÁLISE DE EFICIÊNCIA [PDF]
RAE: Revista de Administração de Empresas, 2014 This article aims to analyze the behavior of a portfolio of assets selected by Data Envelopment Analysis (DEA), optimized by the Sharpe approach, and compare it to portfolios of assets obtained only by DEA or the Sharpe approach.
Paulo Rotela Junior +2 more
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How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast
Financial Innovation, 2020 This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is
Lin Liu, Qiguang Chen
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