Results 51 to 60 of about 133,508 (308)
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
Nudging ESG Investments via Digital Financial Advising: Evidence From an Investment Game Experiment
Business Strategy and the Environment, EarlyView.ABSTRACT The influence of financial advisors on retail investors' sustainable investment choices remains surprisingly underexplored, despite their potential to shape investment behavior. This study uses an experimental design to examine how sustainability‐related information provided by a digital (simulated) financial advisor affects individual demand ...
Caterina Lucarelli +2 more
wiley +1 more source
A novel approach to using modern portfolio theory
Borsa Istanbul Review, 2023 Since their inception, modern portfolio theory (MPT) and the Sharpe ratio have been among the most popular investment methodologies. Although MPT has shortcomings, it effectively uses market sentiment to predict low-risk, high-earning portfolios.
Taariq G.H. Surtee +1 more
doaj +1 more source
Sharper asset ranking from total drawdown durations [PDF]
, 2017 The total duration of drawdowns is shown to provide a moment-free, unbiased, efficient and robust estimator of Sharpe ratios both for Gaussian and heavy-tailed price returns. We then use this quantity to infer an analytic expression of the bias of moment-
Challet, Damien
core +1 more source
International Journal of Eating Disorders, EarlyView.ABSTRACT Objective According to DSM‐5‐TR, avoidant/restrictive food intake disorder (ARFID) cannot be diagnosed alongside anorexia nervosa (AN), bulimia nervosa (BN), or any other body image disturbance. This does not accurately reflect real‐world symptomatology and recent research, indicating the potential need to revise DSM‐5‐TR Criteria.
Liv Hog +11 more
wiley +1 more source
Teacher‐Led Universal Eating Disorder Prevention Programmes in Schools: A Scoping Review
European Eating Disorders Review, EarlyView.ABSTRACT Objective This scoping review seeks to evaluate the efficacy of teacher‐led interventions in mitigating risk factors related to eating disorders, considering the necessity for universal prevention programmes that can be effectively administered by educators.
Jessica Parker +3 more
wiley +1 more source
Food Frontiers, EarlyView.‐Pi infusion significantly improved locomotor activity and exploratory behavior in aging mice; its bioactive compounds may have direct effects on behavior, which may be accompanied by a putative indirect effect involving the gut microbiota. ‐Pi infusion consumption restored commensal Bacilli levels and caused a significant decrease in Clostridia levels
Yulia Kroupitski +7 more
wiley +1 more source
Losing money with a high Sharpe ratio [PDF]
, 2011 A simple example shows that losing all money is compatible with a very high Sharpe ratio (as computed after losing all money). However, the only way that the Sharpe ratio can be high while losing money is that there is a period in which all or almost all
Vovk, Vladimir
core +3 more sources
Robust Performance Hypothesis Testing with the Sharpe Ratio [PDF]
, 2008 Applied researchers often test for the difference of the Sharpe ratios of two investmentnstrategies. A very popular tool to this end is the test of Jobson and Korkie (1981), whichnhas been corrected by Memmel (2003). Unfortunately, this test is not valid
Ledoit, Oliver, Wolf, Michael
core +2 more sources
When Are Statistical Forecast Gains Economically Relevant? Evidence From Bitcoin Returns
Journal of Forecasting, EarlyView.ABSTRACT We study how statistical forecast gains for Bitcoin translate into trading profits. Using real‐time out‐of‐sample forecasts from daily bivariate VARs from October 2021 to February 2024, we show that Bitcoin returns are forecastable and that seven predictive indices yield significant gains in directional accuracy (DA).
Rehan Arain, Stephen Snudden
wiley +1 more source