Results 51 to 60 of about 131,433 (278)

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
doaj   +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, Imhotep Paul Alagidede   +1 more
doaj   +1 more source

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

, 2007
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified ...
A. Friedman, Erhan Bayraktar, G. Barles, H. Föllmer, H. Windcliff, H.L. Royden, H.U. Gerber, I. Karatzas, J. Cochrane, J.P. Fouque, M. Musiela, M. Schweizer, M.G. Crandall, R. Sircar, T. Björk, T. Zariphopoulou, Virginia Young, W. Walter   +17 more
core   +4 more sources

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, Manuele Citi, Matteo Pasquino   +2 more
wiley   +1 more source

Green Ambiguity Shapes Sustainable Investing

Business Strategy and the Environment, EarlyView.
ABSTRACT Green Exchange‐Traded Funds (ETFs) have experienced strong growth in recent years, reflecting increasing investor attention toward sustainability. However, these funds rely on a wide range of environmental metrics that are often weakly aligned, raising concerns about the meaning of greenness in sustainable investing.
Rita Laura D'Ecclesia, Giacomo Morelli, Kevyn Stefanelli   +2 more
wiley   +1 more source

Measuring Corporate Alignment With the Circular Economy: a Text‐Based Circularity Index From Mandatory Non‐Financial Disclosures

Business Strategy and the Environment, EarlyView.
ABSTRACT The transition to a circular economy (CE) has become a strategic priority for firms, yet empirical assessments of corporate circularity remain fragmented and heavily dependent on structured indicators or self‐reported metrics. This paper proposes a novel, text‐based circularity index derived from mandatory non‐financial statements of large ...
Giuseppe Pernagallo, Francesco Quatraro, Eleonora Rubichi   +2 more
wiley   +1 more source

Towards Replacing the “Great Antifungal Wall”: Exploiting Synergies Between Sourdough Fermentation Protocols, Antifungal Plant Ingredients, and Contamination Control to Extend the Mold‐Free Shelf‐Life of Bread

Cereal Chemistry, EarlyView.
ABSTRACT Background “Clean label” antifungal ingredients and fermentation protocols are a promising strategy to meet shelf‐life requirements in the bread industry. Objectives This study evaluated the mold‐free shelf‐life of bread formulations incorporating sourdough combined with antifungal ingredients or additives.
Maria Robles‐Hernandez, Zoe Bumanis, Michael G. Gänzle   +2 more
wiley   +1 more source

Performance Evaluation of Mutual Funds Via Single Valued Neutrosophic Set (SVNS) Perspective: A Case Study in Turkey [PDF]

Neutrosophic Sets and Systems, 2018
The aim of this study was to use the Single-Valued Neutrosophic Set (SVNS) to analyze 58 mutual funds, traded at the Istanbul Stock Exchange, under incomplete, indeterminate and inconsistent information.
Serpil Altinirmak, Yavuz Gul, Basil Oluch Okoth, Caglar Karamasa   +3 more
doaj   +1 more source

Gender Lens Equity Funds: A Methodological Breadth–Accountability Depth Framework and Observed Outcomes

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT Despite rapid growth in gender lens investing (GLI), substantial variation remains in how gender lens equity funds (GLEFs) integrate gender equality criteria into investment strategies. We map a universe of 43 GLEFs and develop a framework capturing gender equality screening breadth and accountability depth (fund‐level disclosure and ...
Freyja Vilborg Thorarinsdottir, Ásta Dís Óladóttir, Gary L. Darmstadt, Sigríður Benediktsdóttir   +3 more
wiley   +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   +2 more sources