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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.
Mohammad Farhan Qudratullah
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The implied Sharpe ratio [PDF]
Quantitative Finance, 2020 22 pages, 6 ...
Agarwal, Ankush, Lorig, Matthew
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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
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Risk management under Omega measure [PDF]
, 2017 We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored,
Metel, Michael R. +2 more
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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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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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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
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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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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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