Results 21 to 30 of about 16,345 (198)
Application of Performance Ratios in Portfolio Optimization
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The cornerstone of modern portfolio theory was established by pioneer work of Harry Markowitz. Based on his mean-variance framework, Sharpe formulated his well-known Sharpe ratio aiming to measure the performance of mutual funds.
Aleš Kresta
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The expected sharpe ratio of efficient portfolios under estimation errors
Cogent Economics & Finance, 2021 This paper aims to develop a feasible estimator of the Sharpe ratio that the investor would expect from estimated efficient portfolios. Based on the analytical expression of the expected Sharpe ratio, we construct an estimator that captures all the ...
Bacem Benjlijel, Hatem Mansali
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The Impact of Downside Risk on Performance Appraisal of Investment Companies in the Tehran Stock Exchange(TSE). [PDF]
تحقیقات مالی, 2007 Many performance measures, such as the classical Sharpe ratio have difficulty in evaluating the performance of investment companies whose return distributions are skewed.
حسین عبده تبریزی +1 more
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SAIPO-TAIPO and Genetic Algorithms for Investment Portfolios
Axioms, 2022 The classic model of Markowitz for designing investment portfolios is an optimization problem with two objectives: maximize returns and minimize risk. Various alternatives and improvements have been proposed by different authors, who have contributed to ...
Juan Frausto Solis +4 more
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The maximum diversification investment strategy: A portfolio performance comparison
Cogent Economics & Finance, 2018 The efficacy of four different portfolio allocation strategies is evaluated according to their absolute returns during different economic conditions over a period of 10 years.
Ludan Theron, Gary van Vuuren
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Advanced Science, EarlyView.A thermo‐responsive rectal delivery platform integrating probiotic‐derived extracellular vesicles within a hyaluronic acid‐based copolymer enables localized and sustained therapy for ulcerative colitis. The formulation effectively suppresses inflammation, promotes macrophage polarization toward a regenerative phenotype, restores epithelial barrier ...
Ayushi Mairal +5 more
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Journal of Management Small and Medium Enterprises (SME's)This study investigates whether the Sharpe Ratio and Treynor Ratio produce significantly different portfolio performance rankings in the Indonesian stock market.
Thersia M M Da Silva +3 more
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Animal Models and Experimental Medicine, EarlyView.Native postbiotics and paraprobiotics derived from Lactobacillus and Bifidobacterium strains were administered to dextran sulfate sodium–treated C57BL/6 mice to evaluate their impact on kidney inflammation via the gut–kidney axis. Histological analysis and quantitative polymerase chain reaction of autophagy‐related genes (atg5, atg7, atg12, atg13 ...
Fatemeh Haririzadeh Jouriani +6 more
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Inference for the Sharpe Ratio Using a Likelihood-Based Approach
Journal of Probability and Statistics, 2012 The Sharpe ratio is the prominent risk-adjusted performance measure used by practitioners. Statistical testing of this ratio using its asymptotic distribution has lagged behind its use.
Ying Liu, Marie Rekkas, Augustine Wong
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The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2016 This paper focuses on the measuring and comparing investment performance of pension funds in selected European countries. Comparison of the investment performance of pension funds is determined by means of the Sharpe ratio and the Sortino ratio.
Petr Kupčík, Pavel Gottwald
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