Results 11 to 20 of about 133,508 (308)
Estimating Fundamental Sharpe Ratios
SSRN Electronic Journal, 2009 Hayette Gatfaoui
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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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STATISTICAL ANALYSIS OF SHARPE RATIO OF THE SHARPE RATIO OPTIMAL PORTFOLIO
Visnyk Lvivskogo Universytetu Seriya Mekhaniko-Matematychna, 2023 Summary: The paper is dedicated to statistical analysis of a sample estimator of the Sharpe ratio of the Sharpe ratio optimal portfolio. Assuming that the vector of portfolio asset returns is multivariate normally distributed the asymptotic distribution of the Sharpe ratio sample estimator is found.
Zabolots'kyĭ, Mykola +2 more
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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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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.
Mohammad Farhan Qudratullah
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The implied Sharpe ratio [PDF]
Quantitative Finance, 2020 22 pages, 6 ...
Agarwal, Ankush, Lorig, Matthew
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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
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Risk management under Omega measure [PDF]
, 2017 We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored,
Metel, Michael R. +2 more
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South African Journal of Economic and Management Sciences, 2020 Background: Based on the static mean-variance portfolio optimisation theory, investors will choose the portfolio with the highest Sharpe ratio to achieve a higher expected utility.
Chris van Heerden
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