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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
doaj +2 more sources
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
doaj +2 more sources
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
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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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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A Sharpe-ratio-based measure for currencies
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
doaj +3 more sources
Mathematics, 2022 The Sharpe ratio is a measure based on the theory of mean variance, it is the measure of the performance of a portfolio when the risk can be measured through the standard deviation.
Lesly Lisset Ortiz-Cerezo +2 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
doaj +1 more source
Measuring Islamic Stock Performance in Indonesia with A Modified Sharpe Ratio
Share: Jurnal Ekonomi dan Keuangan Islam, 2021 Since the late 1960s, one of the stock performance analysis tools commonly used is Sharpe Ratio. The Sharpe Ratio consists of three components, namely stock return, risk-free returns, and stock risk. Many studies approach risk-free returns with interest
Mohammad Farhan Qudratullah
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Two-Stage Portfolio Optimization Integrating Optimal Sharp Ratio Measure and Ensemble Learning
IEEE Access, 2023 The traditional portfolio theory has relied heavily on historical asset returns while ignoring future information. Based on ensemble learning and maximum Sharpe ratio portfolio theory, this paper proposes a two-stage portfolio optimization method by ...
Zhongbao Zhou +3 more
doaj +1 more source