Results 121 to 130 of about 326 (153)

Modulation of functional network co-activation pattern dynamics following ketamine treatment in major depression. [PDF]

open access: yesImaging Neurosci (Camb)
Taraku B   +9 more
europepmc   +1 more source

A strong case to calculate the Treynor ratio using log-returns

Journal of Asset Management, 2017
Both of the building blocks of the Treynor ratio (TR), the expected return and the portfolio beta, depend on the investment horizon. This raises a natural question: how to compare two portfolios using TR over different horizons? Previous studies show that there may be a ranking reversal. That is, one portfolio may look attractive at a short horizon but
Pratish Patel
exaly   +2 more sources

The Generalized Treynor Ratio

Review of Finance, 2005
Abstract This paper extends the Treynor performance ratio for a single index to the case of multiple indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key geometric and analytical properties of the original Treynor Ratio.
Georges Hübner
exaly   +3 more sources

Beta, the Treynor ratio, and long-run investment horizons

Applied Financial Economics, 2003
Beta and Treynor ratios are computed for portfolios of small stocks, large stocks, and bonds for holding periods of 1 to 30 years. For both the stock and bond portfolios, beta, and the Treynor ratio change substantially with the holding period. Furthermore, the relative Treynor rankings of the portfolios change.
James A Yoder
exaly   +2 more sources

Treynor Ratio guided risk-return model for TSO-DSO mutualism considering energy and price volatility

Sustainable Energy, Grids and Networks, 2022
S Q Bu, Vivek Mohan, Vivek Mohan
exaly   +2 more sources

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