Results 121 to 130 of about 613 (140)

The trading on the mutual funds by gene expression programming with Sortino ratio

Applied Soft Computing Journal, 2014
The 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.
Hung-Hsin Chen, Chang-Biau Yang, Yung-Hsing Peng   +2 more
exaly   +2 more sources

Sortino Ratio Based Portfolio Optimization Considering EVs and Renewable Energy in Microgrid Power Market

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.
Vivek Mohan, Jai Govind Singh, Weerakorn Ongsakul   +2 more
exaly   +2 more sources

Beyond the Sortino Ratio

, 2010
Sortino, F., van der Meer, R.A.H., Plantinga, A., Kuan, B.   +3 more
openaire   +3 more sources

IDX BUMN20 PERFORMANCE MEASUREMENT WITH SHARPE, TREYNOR, AND SORTINO

JEM17: Jurnal Ekonomi Manajemen, 2022
Portfolio asset management must minimize risk exposure for the investor. Measuring the performance of any asset instrument can be done by looking at risk-reward.
Hilmy, Ahmad, Shafira, Lidya Valent, Lidya Valent Shafira, Ahmad Hilmy   +3 more
exaly   +3 more sources

Maximizing the Sortino Ratio: downside risk management and alpha yielding

Anais do Simpósio Brasileiro de Pesquisa Operacional
Leonardo Riegel Sant'Anna
exaly   +2 more sources

Chinese Mutual Funds Performance using 4-factor Fama-French Model, Sortino and Sharpe Ratios

Advances in Economics, Management and Political Sciences, 2023
This 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.
openaire   +1 more source

COMPARATIVE ANALYSIS OF THE RISK OF THE SPORTS INDEX APPLYING THE SHARPE, SORTINO AND TREYNOR RATIOS

Menadžment u sportu
This 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, Suzana Balaban, Milica Simić   +2 more
openaire   +1 more source

Should Expected or Most Likely Returns be the Focus in Portfolio Choice Problems? Introducing Probability Dominance based “Most Likely” Sharpe and Sortino Ratios.  ​

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
openaire   +1 more source

The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation

2020
Booth, G. Geoffrey, Broussard, John Paul
openaire   +2 more sources

Sortino’s Ratio for Oriented Fuzzy Discount Factor

Hradec Economic Days, 2020
openaire   +1 more source