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How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast [PDF]
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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Sharpening Sharpe Ratios [PDF]
SSRN Electronic Journal, 2002 It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option-like strategies. In this paper we derive the general conditions for achieving the maximum expected Sharpe ratio. We derive static rules for achieving the maximum Sharpe ratio with two or more options, as well as a continuum of derivative ...
William Goetzmann +3 more
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Adjusted Empirical Likelihood Method in the Presence of Nuisance Parameters with Application to the Sharpe Ratio [PDF]
Entropy, 2018 The Sharpe ratio is a widely used risk-adjusted performance measurement in economics and finance. Most of the known statistical inferential methods devoted to the Sharpe ratio are based on the assumption that the data are normally distributed.
Yuejiao Fu +2 more
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A Sharpe-ratio-based measure for currencies [PDF]
European Journal of Government and Economics, 2015 The Sharpe Ratio offers an excellent summary of the excess return required per unit of risk invested. This work presents an adaptation of the ex-ante Sharpe Ratio for currencies where we consider a random walk approach for the currency behavior and ...
Javier Prado-Dominguez +1 more
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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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Multi-Sensor Temporal Fusion Transformer for Stock Performance Prediction: An Adaptive Sharpe Ratio Approach [PDF]
SensorsAccurate prediction of the Sharpe ratio, a key metric for risk-adjusted returns in financial markets, remains a significant challenge due to the complex and stochastic nature of stock price movements.
Jingyun Yang +4 more
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Finance Research Letters, 2014 Abstract Facing investment choices, investors may care more about potentially excess losses in a downtrend market than excess gains in an upside market. Conditional Sharpe ratios ( CSR ) are statistical ordinates of conditional stochastic dominance ( CSD ) that measure lower partial risk-adjusted excess returns of an asset with respect to return ...
Victor Chow, Christine W. Lai
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Model Comparison with Sharpe Ratios [PDF]
SSRN Electronic Journal, 2017 We show how to conduct asymptotically valid tests of model comparison when the extent of model mispricing is gauged by the squared Sharpe ratio improvement measure. This is equivalent to ranking models on their maximum Sharpe ratios, effectively extending the Gibbons, Ross, and Shanken (1989) test to accommodate the comparison of nonnested models ...
Francisco Barillas +3 more
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Sharpe-Ratio Related Portfolio Selection
BCP Business & Management, 2022 This article investigates the criteria that individual investors should consider within the Sharpe Ratio perspective. Based on risk, return, and correlation, this research used Excel program to find the optimal portfolio and efficient frontier which offer the highest expected return for a defined level of risk or the lowest risk for a given level of ...
Zhenghao Dong
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Sharpe and Treynor Ratios on Treasury Bonds* [PDF]
The Journal of Business, 2006 We challenge asset pricing theory with numerous stylized facts regarding risk and return on U.S. Treasury securities. Most striking is our finding that reward/risk ratios vary inversely with maturity and are incredibly high for short‐term bills. Apparently investors would do much better engaging in highly leveraged investments in bills instead of ...
Pilotte, E. A., Sterbenz, Frederic P.
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