Results 11 to 20 of about 16,345 (198)
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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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
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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
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Complexity, 2023 This paper addresses a method to solve a multi-period portfolio selection on the stock market. The portfolio problem seeks an investor to trade stocks with a finite budget and a given integer number of stocks to hold in a portfolio.
Luis Aburto +3 more
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An Intersection–Union Test for the Sharpe Ratio
Risks, 2018 An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy.
Gabriel Frahm
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Performance Evaluation of Stock Price Indexes in the Indonesia Stock Exchange
International Research Journal of Business Studies, 2018 This study evaluates the performance of stock price indexes in the Indonesia Stock Exchange by using Sharpe Index, Treynor Ratio, Jensen Alpha, Adjusted Sharpe Index, Adjusted Jensen Index and Sortino Ratio.
Robiyanto
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Using Trend Ratio and GNQTS to Assess Portfolio Performance in the U.S. Stock Market
IEEE Access, 2021 Stock selection is an important issue in the stock market, and when assessing portfolio performance, return and risk are important conditions. The Sharpe ratio is a well-known assessment strategy that simultaneously considers portfolio return and risk ...
Yao-Hsin Chou +3 more
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Is New Ibovespa The Best Investment Option? [PDF]
Revista Brasileira de Gestão De Negócios, 2016 Purpose – Verify whether Ibovespa, Old or New, could be the best alternative for investors, considering investment possibilities (risky and risk free) in the Brazilian market.
Ricardo Goulart Serra ¹ ² +1 more
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Active Set Approach for a Bilevel Portfolio Optimization Model [PDF]
International Journal of Mathematical, Engineering and Management SciencesThis paper presents a methodology for determining the optimal portfolio that maximizes the Sharpe ratio within a bilevel framework. The upper-level of the model maximizes the Sharpe ratio of the portfolio, while the lower-level minimizes the risk for a ...
Bhuvnesh Khatana , Geetanjali Panda
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Word Portfolio Optimization in the Environment of Zero Interest Rate
Ekonomika, 2021 This paper provides a deep analysis of ten globally diversified portfolios, composed of different financial instruments: bonds, shares, ETF’s, commodities, indexes, currencies, constructed applying various optimization techniques.
Darja Demcenko
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