Results 11 to 20 of about 15,467 (237)
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
doaj +1 more source
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
openaire +1 more source
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
openaire +3 more sources
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
doaj +1 more source
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
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
doaj +1 more source
SSRN Electronic Journal, 2019 Omega ratio, defined as the probability-weighted ratio of gains over losses at a given level of expected return, has been advocated as a better performance indicator compared to Sharpe and Sortino ratio as it depends on the full return distribution and hence encapsulates all information about risk and return.
Benhamou, Eric +2 more
openaire +2 more sources
An analysis of the Hypervolume Sharpe-Ratio Indicator
European Journal of Operational Research, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Andreia P. Guerreiro, Carlos M. Fonseca
openaire +1 more source
Double-sided balanced conditional Sharpe ratio
Cogent Economics & Finance, 2019 The purpose of this study was to investigate the behavior of various indices of Tehran Stock Exchange firstly in the boom period from 2018-03-21 to 2018-11-02 and secondly in the recession period from 2016-03-20 to 2016-12-20 using double-sided balanced ...
Saeid Tajdini +2 more
doaj +1 more source
Performances of Sharia Mutual Funds in Indonesia: Empirical Evidence from a Developing Economy
European Journal of Islamic Finance, 2021 This study aims to analyze the efficiency of sharia mutual funds, especially in the sharia mutual funds on stocks, money market, fixed income, and mixed funds.
Helmi Muhammad +2 more
doaj +1 more source