Results 11 to 20 of about 2,761,486 (133)
Jurnal Ekonomi Syariah Teori dan Terapan, 2020 The Objective of this research is to identify whether there is a different level performance of mutual funds in syariah shares among Information Ratio, Sortino Ratio, and Roy Safety First Ratio. This analysis using qualitative descriptive. In this case, the authority of money service website mentions there are 21 mutual funds in syariah shares could be
Azis, Nur Rohman, Shofawati, Atina
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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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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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IDX BUMN20 PERFORMANCE MEASUREMENT WITH SHARPE, TREYNOR, AND SORTINO [PDF]
, 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 +3 more
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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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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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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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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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Optimal allocation using the Sortino ratio
, 2020 In this paper we present an asset allocation strategy based on the maximization of the Sortino ratio. Unlike the Sharpe ratio, the Sortino ratio penalizes negative return variances only. The resulting allocation is valid for any time horizon unlike. The returns of a strategy based on such an allocation are empirically illustrated using historical Dow ...
Nassar, Tarek, Ephrem, Sandro
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