Results 161 to 170 of about 4,917 (191)
Some of the next articles are maybe not open access.
Related searches:
Related searches:
2017 IEEE Power & Energy Society General Meeting, 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 +2 more
openaire +1 more source
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 +2 more
openaire +1 more source
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.
openaire +1 more source
The trading on the mutual funds by gene expression programming with Sortino ratio
Applied Soft Computing, 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.
Hung-Hsin Chen +2 more
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
Sortino(γ): A Modified Sortino Ratio With Adjusted Threshold
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.
Yoram Kroll +2 more
openaire +1 more source
The Sortino Ratio and Extreme Value Theory: An Application to Asset Allocation
2020Booth, G. Geoffrey, Broussard, John Paul
openaire +2 more sources
Sortino’s Ratio for Oriented Fuzzy Discount Factor
Hradec Economic Days, 2020openaire +1 more source