Results 11 to 20 of about 451 (149)
Jurnal Fourier, 2016 Banyaknya jenis saham-saham yang ditawarkan di pasar modal mengakibatkan investor harus berhati-hati dalam menentukan saham yang akan dibelinya, karena setiap saham yang ditawarkan selalu mempunyai risiko disamping menjanjikan return.
Indah Puspita Sari +1 more
doaj +3 more sources
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
doaj +3 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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.
openaire +1 more source
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
doaj +1 more source
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
openaire +2 more sources
RATIO ANALYSIS OF ACTUAL BUSINESS PERFORMANCE OF OPEN INVESTMENT FUNDS IN SERBIA [PDF]
Serbian Journal of Management, 2013 The subject of this paper is to analyze the performance of open investment funds in Serbia in the period of 2007 to 2013. By applying Jensen's alpha, Sharper and Sortino ratio it was found that theperformances of domestic investment funds are ...
Lidija Barjaktarović +2 more
doaj +1 more source
Performance Evaluation of Stock Price Indexes in the Indonesia Stock Exchange
International Research Journal of Business Studies, 2018 This study evaluates the performance of stock price indexes in the Indonesia Stock Exchange by using Sharpe Index, Treynor Ratio, Jensen Alpha, Adjusted Sharpe Index, Adjusted Jensen Index and Sortino Ratio.
Robiyanto
doaj +1 more source