Results 21 to 30 of about 4,917 (191)

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, Dejan Ječmenica, Maja Paunović   +2 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

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

Examining the Efficiency of Portfolio Optimization using Model of Minimum-Variance and N/1 in Portfolio Selection [PDF]

Journal of Asset Management and Financing, 2018
The issue of portfolio selection has always been considered as one of the key issues in the field of investment. To select optimal portfolios, various models and methods have been represented since the initial presentation of the Markowitz approach ...
Reza Raei, Saeed Bajalan, Alireza Ajam
doaj   +1 more source

PENGUKURAN METODE RASIO INFORMASI, RASIO SORTINO DAN ROY SAFETY FIRST RATIO PADA KINERJA REKSADANA SAHAM SYARIAH PERIODE 2015-2017

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
openaire   +3 more sources

E-Payment Technology Effect on Bank Performance in Emerging Economies–Evidence from Nigeria

Journal of Open Innovation: Technology, Market and Complexity, 2018
The development of the financial sector has been a major growth driver in all economies, especially in emerging economies. Part of the financial innovations in the sector in recent times is the electronic payment system.
Saidi Atanda Mustapha
doaj   +1 more source

Hedge fund return predictability; To combine forecasts or combine information? [PDF]

, 2014
While the majority of the predictability literature has been devoted to the predictability of traditional asset classes, the literature on the predictability of hedge fund returns is quite scanty. We focus on assessing the out-of-sample predictability of
Ackermann, Agarwal, Agarwal, Agarwal, Aggarwal, Aiolfi, Alexander, Amenc, Ang, Avramov, Avramov, Bai, Bali, Bali, Bali, Bali, Bali, Bates, Berk, Billio, Breiman, Bussiere, Campbell, Campbell, Cao, Chan, Chen, Clark, Della Corte, Della Corte, Ekaterini Panopoulou, Fleming, Friedman, Fung, Fung, Fung, Fung, Fung, Ghosh, Goyal, Greyserman, Hamza, Harlow, Harlow, Harris, Hendry, Hoerl, Huang, Inoue, Jagannathan, Jore, Kosowski, Krokhmal, Liang, Liang, Markowitz, Marquering, Meligkotsidou, Meligkotsidou, Mitchell, Olmo, Pastor, Patton, Petkova, Rapach, Rapach, Rockafellar, Rockafellar, Sortino, Spyridon Vrontos, Stock, Stock, Sun, Tibshirani, Timmermann, Titman, Vassalou, Vrontos, Wachter, Wegener, West, Zou, Zou, Zou   +83 more
core   +2 more sources

Analyzing the Performance of Iran Mutual Funds [PDF]

پژوهش‌های تجربی حسابداری, 2013
This paper is based on the performance of mutual fund in the Tehran’s stock exchange criteria based on modern portfolio theory consists of (Sharp ratio, Modigliani,Standard Deviation, Systematic Risk, Treynor, Jenesen alpha) and Post Modern portfolio ...
Gholamreza Soleimany Amiri, Ameneh Abed
doaj   +1 more source

Measuring the risk-adjusted performance of selected soft agricultural commodities

Agricultural Economics (AGRICECON), 2022
In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only the level of risk, we found that cocoa had the highest risk of losses, followed by orange juice. Cotton
Dejan Živkov, Boris Kuzman, Jonel Subić   +2 more
doaj   +1 more source