Results 171 to 180 of about 1,201 (194)

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

Sustainable Energy, Grids and Networks, 2022
Jisma M, Vivek Mohan, Mini Shaji Thomas   +2 more
exaly   +2 more sources

Zur Relevanz von Sharpe Ratio und Treynor Ratio: Ein investorspezifisches Performancemaß

Zeitschrift Für Bankrecht Und Bankwirtschaft, 2003
Hendrik Scholz, Marco Wilkens
exaly   +3 more sources

Robust Treynor ratio for portfolio selection

Annals of Operations Research
Azize Zehra ÇELENLİ Basaran, Ali Zafer Dalar, Özge Gundogdu   +2 more
exaly   +2 more sources

Hybrid Balanced Justified Treynor ratio

Managerial Finance, 2020
PurposeRisk and return are the most important components in the financial and investment world and the existence of a better balance between them with the goal of the best solution for investing in different assets has always been studied and discussed by researchers. For this purpose in this study introduced the Hybrid Balanced Justified Treynor ratio
Saeid Tajdini, Mohsen Mehrara, Reza Tehrani   +2 more
openaire   +1 more source

A Study on Stock Market Performance by using Sharpe and Treynor Ratio

Asian Journal of Management, 2023
The study deals with stock performance of Indian companies. To measure the stock market performance, the study applied Sharpe and Treynor ratio. The sample of BSE-100 stocks for the period of 10 years are used. The results show that Aurobindo Pharma (0.760373807) and Axis Bank (117.4119294) are the top ranked companies in terms of performance.
Azeeza Begum, Janet Jyothi Dsouza, Dinesh K   +2 more
openaire   +1 more source

Treynor Ratio

, 2015
openaire   +2 more sources

Evaluating financial services in India: A risk-adjusted performance analysis using the Treynor ratio

International Journal of Research in Management
Undabatla Rambabu, PSS Kalyan Darapaneni, Jannu Vinay, Prathipati Naga Durga Mahalakshmi, Ramineni Vijaya Lakshmi   +4 more
exaly   +2 more sources

The Generalized Treynor Ratio: A Note

SSRN Electronic Journal, 2003
This paper presents a generalization of the Treynor ratio in a multi-index setup. The solution proposed in this paper is the simplest measure that keeps Treynor's original interpretation of the ratio of abnormal excess return (Jensen's alpha) to systematic risk exposure (the beta) and preserves the same key geometric and analytical properties as the ...
openaire   +1 more source

Algorithm for construction of portfolio of stocks using Treynor’s ratio [PDF]

, 2012
The aim of the paper is to implement the algorithm for selecting stocks from a pool of stocks listed in a single market index like S&P CNX 500(say) and finding the corresponding weights of the stocks in the optimized portfolio using Treynor’s ratio, on the basis of historical data of Indian stock market when the short selling is not allowed.
Sinha, Pankaj, Goyal, Lavleen
openaire  

COMPARATIVE ANALYSIS OF THE RISK OF THE SPORTS INDEX APPLYING THE SHARPE, SORTINO AND TREYNOR RATIOS

Menadžment u sportu
This paper evaluates the returns and risk of the European Football Clubs Index (EFCI), including Manchester United, Juventus, Benfica, and Celtic, using Sharpe, Sortino, and Treynor ratios. Bivariate portfolios are constructed using the minimum variance approach and optimal weights according to the Kroner and Ng formula.
Ivana Putić, Suzana Balaban, Milica Simić   +2 more
openaire   +1 more source