Results 111 to 120 of about 613 (140)
Losing money with a high Sharpe ratio
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
Vladimir Vovk
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Efficient Portfolio Allocation and Risk Management Techniques
, 2015 Instead of focusing on traditional mean-variance optimization, portfolio managers should emphasize risk measures that focus on downside deviations. In this document, I examine three risk measures in particular: the Sharpe ratio, the Sortino ratio, and
Hoffenberg, Andrew
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Omega ratio for measuring the security performance: an applicatıon on borsa İstanbul
, 2019 Mümkün olan en düşük riskte, en yüksek getiriyi hedefleyen yatırımcılar, portföy seçimlerinde finans literatüründe yer alan performans ölçüm tekniklerinden de birer bilgi kaynağı olarak yararlanmaktadır. Genel olarak temel bir piyasa değişkenini baz alan
Uyar, Umut, Çağlak, Emin
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ANALISIS PERBANDINGAN KINERJA REKSADANA KONVENSIONAL DENGAN REKSADANA SYARIAH DI INDONESIA
, 2015 Penelitian ini untuk mengetahui ada atau tidaknya perbedaan kinerja reksadana saham konvensional dengan reksadana saham syariah dan reksadana campuran konvensional dan reksadana campuran syariah.
OKKY SURYA FATRA
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Optimal asset allocation aid system: From "one-size" vs "tailor-made" performance ratio
Optimal asset allocation well-fitting investors' goals is a pressing challenge in risk management. Making a step forward to the Sharpe ratio, the parameter-dependent Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti performance ratios are ...
Thoeny, Markus +4 more
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Beyond Sharpe ratio: Optimal asset allocation using different performance ratios
As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for constructing optimal portfolios.
Thoeny, Markus +4 more
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Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory
Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions.
Jacques Pézier
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Australian Journal of Management, 2008 This paper will investigate the suitability of existing performance measures under the assumption of a clearly defined benchmark. A range of measures are examined including the Sortino Ratio, the Sharpe Selection ratio (SSR), the Student's t-test and a decay rate measure.
Chaudhry, Ashraf, Johnson, Helen
exaly +3 more sources
Sortino(γ): A Modified Sortino Ratio With Adjusted Threshold [PDF]
Journal of Accounting and FinanceA portfolio’s Sortino ratio is strongly affected by the risk-free vs. risky assets mix, except for the case where the threshold, T is equal to the risk-free rate. Therefore, if T differs from the risk-free rate, the portfolio’s Sortino ratio could potentially be increased by merely changing the mix of the risk-free and the risky components.
Kroll, Yoram +2 more
core +6 more sources