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Spiral nematodes, soil microbiome and micronutrients increase chickpea drought susceptibility but do not induce symptoms of the emerging health issue. [PDF]
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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 ...
Wright, JA, Wong, WK, Yam, SCP, Yung, SP
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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 ...
Wright, JA, Wong, WK, Yam, SCP, Yung, SP
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Sankhya B, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mahesh K.C, Arnab Kumar Laha
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mahesh K.C, Arnab Kumar Laha
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The Journal of Investing, 2005
Many researchers have advocated measuring market timing performance by measuring the extent to which fund realized investment weight-shift is consistent with the realized asset return. However, the weight-shift approach ignores the market timing risk, which comes from the variation in market return.
Hung, M.W., Jan, Y.
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Many researchers have advocated measuring market timing performance by measuring the extent to which fund realized investment weight-shift is consistent with the realized asset return. However, the weight-shift approach ignores the market timing risk, which comes from the variation in market return.
Hung, M.W., Jan, Y.
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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
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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
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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
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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
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Journal of Quantitative Economics, 2004
Sharpe ratio is a widely accepted tool for comparing the portfolio performance. In this paper we have proposed a nonparametric measure of the Sharpe rule. The statistical properties of this nonparametric measure and the standard Sharpe ratio are then developed under both normality and non-normality of observations.
Debasri Mukherjee, Aman Ullah
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Sharpe ratio is a widely accepted tool for comparing the portfolio performance. In this paper we have proposed a nonparametric measure of the Sharpe rule. The statistical properties of this nonparametric measure and the standard Sharpe ratio are then developed under both normality and non-normality of observations.
Debasri Mukherjee, Aman Ullah
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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
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