Results 81 to 90 of about 131,433 (278)
Adjusted Sharpe Ratio: Some Caveats [PDF]
SSRN Electronic Journal, 2018 Researchers and investors are concerned with the shortcomings of various measures of portfolio management performances, among them the famous Sharpe ratio. In particular, the Sharpe ratio does not give due consideration to tail risk: negative skewness and fat tails, which justly are a matter of concern for investors.
openaire +1 more source
End‐to‐End Portfolio Optimization with Hybrid Quantum Annealing
Advanced Quantum Technologies, EarlyView.This works presents a hybrid quantum‐classical framework for portfolio optimization that combines quantum assisted asset selection and rebalancing with classical weight allocation. The approach processes real market data, embeds it into Quadratic Unconstrained Binary Optimization formulations, and evaluates performance within a unified workflow ...
Sai Nandan Morapakula +5 more
wiley +1 more source
Methodology of measuring performance in alternative investment [PDF]
The development of alternative investment has highlighted the limitations of standard performance measures like the Sharpe ratio, primarily because alternative strategies yield returns distributions which can be far from gaussian.
Alexis Bonnet, Isabelle Nagot
core
River Research and Applications, EarlyView.ABSTRACT River infrastructures such as weirs, dams, inlet and outlet regulators often impair connectivity, leading to degradation and loss of key habitats for riverine fishes. This also holds true for golden perch (Macquaria ambigua Richardson), a migratory species in Australia's Murray–Darling Basin.
Josef Knott +5 more
wiley +1 more source
BarekengBuilding a portfolio is one method of reducing investment risk. Cluster analysis can shorten the time required to choose companies for a portfolio because it makes it easy to put firms in the same category together.
Zuva Amalina Zain +2 more
doaj +1 more source
Stochastic Dominance Analysis of iShares [PDF]
Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Davidson and Duclos (2000) and Memmel (2003) provide procedures for determining the statistical significance of stochastic dominance ...
Dominic Gasbarro +2 more
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Fixing the Leaky Pipeline: Affirmative Action in Local Elite Colleges and Subject Choice
Southern Economic Journal, EarlyView.ABSTRACT Women are largely underrepresented in STEM careers associated with higher labor market returns. This gender gap is even more stark in a context where societal biases are prevalent and female role models are lacking. This paper investigates the impact of an affirmative action (AA) policy implemented in an elite educational institution in India ...
Ritika Gupta
wiley +1 more source
Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps [PDF]
We analyze portfolio strategies which are locally optimal, meaning that they maximize the Sharpe ratio in a general continuous time jump-diffusion framework. These portfolios are characterized explicitly and compared to utility based strategies.
Eckhard Platen, Morten Christensen
core
The importance of considering regimes in long‐term asset allocation to real estate
Real Estate Economics, EarlyView.Abstract We investigate the long‐term, regime‐dependent asset allocation of an investor's wealth in a mixed‐asset portfolio that includes publicly traded real estate. We show that augmenting standard VAR models with Markov‐switching features not only improves predictive power for asset returns but also introduces economically meaningful horizon effects
Massimo Guidolin +2 more
wiley +1 more source
Information Acquisition and Portfolio Performance [PDF]
Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overcon.dent investors overstate the quality of their own information, and thus attain a lower Sharpe ...
Luigi Guiso, Tullio Jappelli
core +3 more sources