Results 41 to 50 of about 131,433 (278)
Incremental Sharpe and Other Performance Ratios [PDF]
SSRN Electronic Journal, 2018 18 ...
Benhamou, Éric, Guez, Beatrice
openaire +2 more sources
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
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
doaj +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
doaj +1 more source
IEEE Access, 2021 Stock selection is the first problem that investors encounter when investing in the stock market and is paramount. The Sharpe ratio is a common assessment strategy.
Yao-Hsin Chou, Yu-Chi Jiang, Shu-Yu Kuo
doaj +1 more source
Expected Utility Maximization and Conditional Value-at-Risk Deviation-based Sharpe Ratio in Dynamic Stochastic Portfolio Optimization [PDF]
, 2018 In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of
Kilianova, Sona, Sevcovic, Daniel
core +2 more sources
Advanced Science, EarlyView.Polydopamine‐encapsulated probiotics restore gut homeostasis and reinstate macrophage efferocytosis, thereby reestablishing immune tolerance and mitigating systemic autoimmunity, highlighting a bioengineered microbiota‐based therapeutic strategy for SLE.
Ruimiao Wu +10 more
wiley +1 more source
On the Profitability of Optimal Mean Reversion Trading Strategies
, 2016 We study the profitability of optimal mean reversion trading strategies in the US equity market. Different from regular pair trading practice, we apply maximum likelihood method to construct the optimal static pairs trading portfolio that best fits the ...
Huang, Peng, Wang, Tianxiang
core +1 more source
BMEMat, EarlyView.This study reports the development of AMS@Eud core‐shell microspheres, combining calcium alginate and pH‐responsive Eudragit® L100, which exhibit exceptional gastrointestinal resistance and long‐term storage stability (only 5.28%–9.09% viability loss over 35 days at 4–25°C), and effectively alleviate inflammatory bowel disease via gut microbiota ...
Ming Teng +5 more
wiley +1 more source