Results 21 to 30 of about 133,508 (308)
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
openaire +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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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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
doaj +1 more source
Polish Pension Market Performance in Comparison to Selected Benchmarks
Economics & Sociology, 2017 After the great reform of the pension system in Poland in 1999, the several transformations of the new system were performed. The most essential, which changed the rules for the mandatory fully funded pillar, went implemented in 2011 and 2014. The aim of
Dorota Witkowska, Krzysztof Kompa
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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
doaj +1 more source
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
doaj +1 more source
Portfolio Diversification Based on Clustering Analysis [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2023 Forming an investment portfolio is one of the main concerns of managers and investors who strive in order to create the best investment portfolio to get the best return from the market.
Marziyeh Nourahmadi, Hojjatollah Sadeqi
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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
doaj +1 more source