Results 171 to 180 of about 2,761,215 (191)

The Generalized Treynor Ratio: A Note

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 ...
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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
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Informationless Trading and Biases in Performance Measurement: Inefficiency of the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio and DEA-Based Performance Measures and Related Measures

2018
The Sharpe Ratio, Conditional Sharpe Ratio, Conditional Treynor Ratio, Treynor Ratio, Jensen’s Alpha, Appraisal Ratio, Sortino and Van der Meer Ratio (1991), Sortino, Van der Meer and Plantinga (1999) Ratio, Information Ratio, DEA-based Methods and the Henriksson-Merton market timing measure are all based on the Mean–Variance (“M-V”) Framework and are ...
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Sharpe Ratio and Treynor Index Performance Mesaurents Based A Genetic Algorithm Approach

2020
The investor always wants to create a portfolio that will benefit him with the highest benefit. This situation presents the portfolio problem that needs to be optimized. In the literature, quadratic programming method, which is one of the classical optimization methods, is used to solve the portfolio optimization problem.
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Hybrid Balanced Justified Treynor ratio

Managerial Finance, 2021
Saeid Tajdini, Mohsen Mehrara
exaly  

Performance Hypothesis Testing with the Sharpe and Treynor Measures

Journal of Finance, 1981
J D Jobson
exaly   +2 more sources

The application of improved VaR-Treynor and VaR-Jensen’s α in financial mathematical modeling: taking photovoltaic building integration plate as an example

2022
Chengjie Huang
exaly  

Treynor Ratio

2015
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Sharpe Performance Measure and Treynor Performance Measure Approach to Portfolio Analysis

2020
Cheng Few Lee
exaly