Results 191 to 200 of about 6,534 (244)
Risk and Decision Analysis, 2012 Recent results in optimal stopping theory have shown that a ‘bang-bang’ (buy or sell immediately) style of trading strategy is in some sense optimal provided the asset's price dynamics follow certain familiar stochastic processes. This paper constructs a reward-to-variability ratio (the mixed Sharpe ratio) that is sufficient for this strategy's ...
Wai Keung Wong +3 more
openaire +3 more sources
Some of the next articles are maybe not open access.
Related searches:
Related searches:
A refinement to the Sharpe ratio and information ratio
Journal of Asset Management, 2005By modifying the denominator, both the Sharpe ratio and information ratio provide correct rankings during periods of negative excess returns.
exaly +2 more sources
Sankhya B, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mahesh K.C, Arnab Kumar Laha
openaire +1 more source
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mahesh K.C, Arnab Kumar Laha
openaire +1 more source
The Sharpe Ratio Efficient Frontier
SSRN Electronic Journal, 2011We evaluate the probability that an estimated Sharpe ratio exceeds a given threshold in presence of non-Normal returns. We show that this new uncertainty-adjusted investment skill metric (called Probabilistic Sharpe ratio, or PSR) has a number of important applications: First, it allows us to establish the track record length needed for rejecting the ...
David Bailey, Marcos López de Prado
openaire +1 more source
Finance Research Letters, 2014
Abstract Facing investment choices, investors may care more about potentially excess losses in a downtrend market than excess gains in an upside market. Conditional Sharpe ratios ( CSR ) are statistical ordinates of conditional stochastic dominance ( CSD ) that measure lower partial risk-adjusted excess returns of an asset with respect to return ...
Victor Chow, Christine W. Lai
openaire +1 more source
Abstract Facing investment choices, investors may care more about potentially excess losses in a downtrend market than excess gains in an upside market. Conditional Sharpe ratios ( CSR ) are statistical ordinates of conditional stochastic dominance ( CSD ) that measure lower partial risk-adjusted excess returns of an asset with respect to return ...
Victor Chow, Christine W. Lai
openaire +1 more source
BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
International Journal of Theoretical and Applied Finance, 2023Bernard et al. [(2019) Optimal strategies under omega ratio, European Journal of Operational Research 275 (2), 755–767] use convex ordering arguments to determine the bounded payoff for maximizing the omega ratio. However, it appears difficult to apply such reasoning to estimate the bounded payoff for maximizing the Sharpe ratio.
JIANG YE +2 more
openaire +2 more sources
SSRN Electronic Journal, 1999
Sharpe's (1966) portfolio performance ratio, the ratio of the portfolio’s expected return to its standard deviation, is a very well known tool for comparing portfolios. However, due to the presence of random denominators in the definition of the ratio, the sampling distribution of the Sharpe ratio is somewhat difficult to determine.
Hrishikesh D. Vinod, Matthew R. Morey
openaire +1 more source
Sharpe's (1966) portfolio performance ratio, the ratio of the portfolio’s expected return to its standard deviation, is a very well known tool for comparing portfolios. However, due to the presence of random denominators in the definition of the ratio, the sampling distribution of the Sharpe ratio is somewhat difficult to determine.
Hrishikesh D. Vinod, Matthew R. Morey
openaire +1 more source
The Journal of Portfolio Management, 2005
Wavelet analysis represents a new approach to investigating the empirical relationship between the Sharpe ratio and the investment horizon for portfolios of small stocks, large stocks, and intermediate–term and long–term bonds. A wavelet multiscale approach decomposes a given time series on a scale–by–scale basis.
Sangbae Kim, Francis In
openaire +1 more source
Wavelet analysis represents a new approach to investigating the empirical relationship between the Sharpe ratio and the investment horizon for portfolios of small stocks, large stocks, and intermediate–term and long–term bonds. A wavelet multiscale approach decomposes a given time series on a scale–by–scale basis.
Sangbae Kim, Francis In
openaire +1 more source
The Journal of Portfolio Management, 1994
. Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not.
openaire +1 more source
. Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not.
openaire +1 more source