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Is VIX a Contrarian Indicator? On the Positivity of the Conditional Sharpe Ratio ^†

Econometrics
The notion of compensation for systematic risk is well ingrained in finance and constitutes the basis for numerous empirical tests. The concept an increase in systematic risk is accompanied by an increase in the required risk premium has strong intuitive
Ehud I. Ronn, Liying Xu
doaj   +1 more source

Assessing Hedge Fund Performance: Does the Choice of Measures Matter? [PDF]

In this paper, we conducted a comparative study of ten measures documented as the most used by researchers and practionners: Sharpe, Sortino, Calmar, Sterling, Burke, modified Stutzer, modified Sharpe, upside potential ratio, Omega and AIRAP.
Huyen Nguyen-Thi-Thanh
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Analisis Perbandingan Kinerja Reksa Dana Konvensional dengan Reksa Dana Syariah di Indonesia [PDF]

, 2014
This research aims to analyze how the performance between Conventional mutual fund and Sharia mutual fund. Variables that are used in this research are sharpe ratio, treynor ratio, and jensen ratio.
Fauzie, S. (syarief), Putra, J. (Jepryansyah)   +1 more
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Alternative measures and decomposition of mutual funds portfolio performance [PDF]

Bankarstvo, 2018
In addition to the well-established and most commonly used portfolio performance measures, both in theory and practice - the Sharpe ratio, the Treynor ratio and the Jensen's or alpha index, the financial literature also includes other alternative ...
Leković Miljan
doaj  

Action-specialized expert ensemble trading system with extended discrete action space using deep reinforcement learning.

PLoS ONE, 2020
Despite active research on trading systems based on reinforcement learning, the development and performance of research methods require improvements. This study proposes a new action-specialized expert ensemble method consisting of action-specialized ...
JoonBum Leem, Ha Young Kim
doaj   +1 more source

The Returns to Currency Speculation [PDF]

Currencies that are at a forward premium tend to depreciate. This 'forward-premium puzzle' represents an egregious deviation from uncovered interest parity.
Craig Burnside, Isaac Kleshchelski, Martin Eichenbaum, Sergio Rebelo   +3 more
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Carry trade and return crash risk [PDF]

, 2009
We build two leveraged and non-leveraged strategies for carry trading. In the non-leveraged carry trade we show that the Sharpe ratio as a proxy for profitability has a concave form with respect to the interest rate differentials.
Sy, Mouhamadou, Tabarraei, Hamidreza
core   +2 more sources

Optimizing Investment Portfolios with Bacterial Foraging and Robust Risk Management

Algorithms
This study introduces a novel portfolio optimization approach that combines Bacterial Foraging Optimization (BFO) with risk management techniques and Sharpe ratio analysis. BFO, a nature-inspired algorithm, is employed to construct diversified portfolios,
Hubert Zarzycki
doaj   +1 more source

Pricing kernels and dynamic portfolios [PDF]

We investigate the structure of the pricing kernels in a general dynamic investment setting by making use of their duality with the self financing portfolios.
HENROTTE, Philippe
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C-CAPM and the Cross-Section of Sharpe Ratios [PDF]

This paper studies if the consumption-based asset pricing model can explain the cross-section of Sharpe ratios. The CRRA model and several extensions (habit persistence, recursive utility and idiosyncratic shocks) all imply that the Sharpe ratio is ...
Söderlind, Paul
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