Results 11 to 20 of about 613 (140)
PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018
Journal of Management and Entrepreneurship Research, 2020 Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio.
Happy Catherine, Robiyanto Robiyanto
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Does Voracious Behavior favor Efficient Market Hypothesis? Role of Performance Measures
Scientific Annals of Economics and Business, 2022 Greed plays an important in the fluctuations of stock prices because investors want profits irrespective of the risk taken by them. This study aims to determine, whether, in times of rising trends in the market, greediness is good for the investor or not.
Attayah Shafique +3 more
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Applied Computer Science, 2023 In this study, the authors propose a method for testing high frequency trading (HFT) algorithms on the GPU using kernel parallelization, code vectorization, and multidimensional matrices.
Mantas Vaitonis, Konstantinas Korovkinas
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Paired Trading Strategy Optimization Using the Reinforcement Learning Method: Intraday Data of Tehran Stock Exchange [PDF]
تحقیقات مالی, 2019 Objective: Paired trading is among the most well-known and oldest algorithmic trading systems. The efficiency and profitability of this system have been demonstrated in many studies conducted so far in financial markets.
Saeid Fallahpour, Hasan Hakimian
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PLoS ONE, 2020 Despite active research on trading systems based on reinforcement learning, the development and performance of research methods require improvements. This study proposes a new action-specialized expert ensemble method consisting of action-specialized ...
JoonBum Leem, Ha Young Kim
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The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2016 This paper focuses on the measuring and comparing investment performance of pension funds in selected European countries. Comparison of the investment performance of pension funds is determined by means of the Sharpe ratio and the Sortino ratio.
Petr Kupčík, Pavel Gottwald
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A novel approach to using modern portfolio theory
Borsa Istanbul Review, 2023 Since their inception, modern portfolio theory (MPT) and the Sharpe ratio have been among the most popular investment methodologies. Although MPT has shortcomings, it effectively uses market sentiment to predict low-risk, high-earning portfolios.
Taariq G.H. Surtee +1 more
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Interval Estimation for the Sortino Ratio and the Omega Ratio [PDF]
Communications in Statistics - Simulation and Computation, 2013 In this article, asymptotic confidence intervals (CIs) for the Sortino and Omega ratios are proposed and analyzed. First, the CIs are derived under the assumption of temporal independence and identical distribution of returns. Later they are obtained assuming that the returns process is strictly stationary and α-mixing of a certain size.
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ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach
SAGE Open, 2022 This study aims to compose a portfolio consisting crypto hedge fund and ASEAN-5 stock market and to examine the hedging effect of crypto hedge fund against those stock markets.
Andreas Renard Widarto +3 more
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