Results 261 to 270 of about 133,508 (308)
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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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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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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.
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. 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.
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Sharpe Ratios, Target Ratios, and Return Goals
The Journal of Portfolio Management, 2020Some form of success estimation is present in virtually all decision-making processes. In most cases, estimations are implicit and judgmental. However, in certain data-rich areas, success prospects can be sharpened into probabilities. Although funds may settle for an expected return that equals some fixed target return, that match results in only a 50%
Martin L. Leibowitz, Stanley Kogelman
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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
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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
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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
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Testing equality of modified Sharpe ratios
Finance Research Letters, 2014The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investment with non-normal returns, such as hedge funds. In this note, a test for equality of modified Sharpe ratios of two investments is developed. A simulation study demonstrates the good size and power properties of the test.
Ardia, David, Boudt, Kris
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SSRN Electronic Journal, 2007
Investors often consider Sharpe ratios when making portfolio decisions. Given sampling error in estimated means and variances of returns, simplistic use of Sharpe ratios when choosing between portfolios is extremely ill-advised. In practice, the error in the estimate of the Sharpe ratio will almost certainly be too large to distinguish between the ...
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Investors often consider Sharpe ratios when making portfolio decisions. Given sampling error in estimated means and variances of returns, simplistic use of Sharpe ratios when choosing between portfolios is extremely ill-advised. In practice, the error in the estimate of the Sharpe ratio will almost certainly be too large to distinguish between the ...
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Sharpe Ratio: International Evidence
SSRN Electronic Journal, 2016There is no overall consensus about which measure is the most suitable for evaluating portfolios’ performance. Despite being affected by some of the statistical characteristics of returns, Sharpe ratio is the most widely used measure for portfolio performance evaluation.
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