Results 31 to 40 of about 6,534 (244)
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
doaj +1 more source
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
doaj
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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Sharpe and Treynor Ratios on Treasury Bonds* [PDF]
The Journal of Business, 2006 We challenge asset pricing theory with numerous stylized facts regarding risk and return on U.S. Treasury securities. Most striking is our finding that reward/risk ratios vary inversely with maturity and are incredibly high for short‐term bills. Apparently investors would do much better engaging in highly leveraged investments in bills instead of ...
Pilotte, E. A., Sterbenz, Frederic P.
openaire +2 more sources
The Sharpe ratio of estimated efficient portfolios [PDF]
, 2016 Investors often adopt mean-variance efficient portfolios for achieving superior risk-adjusted returns. However, such portfolios are sensitive to estimation errors, which affect portfolio performance.
Kourtis, Apostolos
core +1 more source
Testing Sharpe ratio: luck or skill?
, 2020 Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return over the strategy standard deviation.
Guez, Beatrice +3 more
core +1 more source
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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Testing Sharpe Ratio: Luck or Skill? [PDF]
SSRN Electronic Journal, 2019 56 pages, 44 ...
Benhamou, Eric +3 more
openaire +2 more sources
Advanced Energy Materials, EarlyView.Molecular dynamics simulations with machine learning potentials, combined with experiments, reveal how interlayer metals govern Li alloying and crystallization in zero‐excess lithium batteries. Mg and Zn promote solid‐solution alloy‐mediated pathways that influence Li diffusion and structural uniformity, while Bi forms ordered intermetallics with more ...
Neubi F. Xavier Jr. +10 more
wiley +1 more source