Results 111 to 120 of about 2,761,486 (133)
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
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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
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IEEE Transactions on Sustainable Energy, 2017
Portfolio optimization in finance is the optimal allocation of financial assets in different stocks, mutual funds, bonds etc. to maximize the returns with risk tolerance. Sortino ratio is a measure for calculating risk adjusted return of investment portfolios.
Jai Govind Singh, Vivek Mohan
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Portfolio optimization in finance is the optimal allocation of financial assets in different stocks, mutual funds, bonds etc. to maximize the returns with risk tolerance. Sortino ratio is a measure for calculating risk adjusted return of investment portfolios.
Jai Govind Singh, Vivek Mohan
exaly +4 more sources
The trading on the mutual funds by gene expression programming with Sortino ratio
Applied Soft Computing Journal, 2014The aim of this paper is to combine several techniques together to provide one systematic method for guiding the investment in mutual funds. Many researches focus on the prediction of a single asset time series, or focus on portfolio management to diversify the investment risk, but they do not generate explicit trading rules.
Chang-Biau Yang
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Maximizing the Sortino Ratio: downside risk management and alpha yielding
Anais do Simpósio Brasileiro de Pesquisa OperacionalLeonardo Riegel Sant'Anna, PABLO GUEDES
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Chinese Mutual Funds Performance using 4-factor Fama-French Model, Sortino and Sharpe Ratios
Advances in Economics, Management and Political Sciences, 2023This paper examined the performance of the Chinese Mutual funds using the Sharpe ratio, Sortino ration and the 4-factor Fama and French model to assess the price of the mutual funds. A sample of 221 months was used (January 2003-July 2020). The results showed the MOM had the highest return with relatively lower volatility.
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Ranking mutual funds using Sortino method [PDF]
Management Science Letters, 2014 One of the primary concerns on most business activities is to determine an efficient method for ranking mutual funds. This paper performs an empirical investigation to rank 42 mutual funds listed on Tehran Stock Exchange using Sortino method over the ...
Khosro Faghani Makrani, Behzad Zamanian
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COMPARATIVE ANALYSIS OF THE RISK OF THE SPORTS INDEX APPLYING THE SHARPE, SORTINO AND TREYNOR RATIOS
Menadžment u sportuThis paper evaluates the returns and risk of the European Football Clubs Index (EFCI), including Manchester United, Juventus, Benfica, and Celtic, using Sharpe, Sortino, and Treynor ratios. Bivariate portfolios are constructed using the minimum variance approach and optimal weights according to the Kroner and Ng formula.
Ivana Putić +2 more
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For the last 60 years, Generalized Expected Utility Theory, Rational Expectations, and tacit presumptions of symmetry in outcome distributions have been the foundational mainstay in decision-making paradigms which seek optimum risk tempered outcomes.
Gordon Anderson, Oliver B. Linton
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Gordon Anderson, Oliver B. Linton
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