Results 31 to 40 of about 133,508 (308)
Testing Sharpe Ratio: Luck or Skill? [PDF]
SSRN Electronic Journal, 2019 56 pages, 44 ...
Benhamou, Eric +3 more
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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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Word Portfolio Optimization in the Environment of Zero Interest Rate
Ekonomika, 2021 This paper provides a deep analysis of ten globally diversified portfolios, composed of different financial instruments: bonds, shares, ETF’s, commodities, indexes, currencies, constructed applying various optimization techniques.
Darja Demcenko
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Incremental Sharpe and Other Performance Ratios [PDF]
SSRN Electronic Journal, 2018 18 ...
Benhamou, Éric, Guez, Beatrice
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Some Results on Bivariate Squared Maximum Sharpe Ratio
RisksThe Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets.
Samane Al-sadat Mousavi +2 more
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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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Active Set Approach for a Bilevel Portfolio Optimization Model [PDF]
International Journal of Mathematical, Engineering and Management SciencesThis paper presents a methodology for determining the optimal portfolio that maximizes the Sharpe ratio within a bilevel framework. The upper-level of the model maximizes the Sharpe ratio of the portfolio, while the lower-level minimizes the risk for a ...
Bhuvnesh Khatana , Geetanjali Panda
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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 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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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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