scroll to top
Loading icon
0

Mobile Menu

Header Layout

EBSCO Auth Banner

Let's find your institution. Click here.

Page title

Advanced Search Results For "SHARPE ratio"

1 - 10 of 1,160 results for
 "SHARPE ratio"
Results per page:

Bonds: A Point-Counterpoint Discussion.

Publication Type:Academic Journal

Source(s):Journal of Financial Service Professionals. May2022, Vol. 76 Issue 3, p18-22. 5p.

Abstract:This column provides a point-counterpoint discussion about the use of bonds in client portfolios. As discussed, we agree that bonds can play an important role in generating income, reducing portfolio variance, and optimizing a portfolio's Sharpe ratio....

View details

Multifactor Stock Selection Strategy Based on Machine Learning: Evidence from China.

Publication Type:Academic Journal

Source(s):Complexity. 2/3/2022, p1-17. 17p.

Abstract:Machine learning methods have been used in multifactor stock strategy for years. This paper uses three machine learning methods and linear regression method to find the most appropriate approach. First, a framework is established and 10 style factors a...

View details

Econometric Modeling to Measure the Efficiency of Sharpe's Ratio with Strong Autocorrelation Portfolios.

Publication Type:Academic Journal

Source(s):Complexity. 1/10/2022, p1-10. 10p.

Abstract:Sharpe's ratio is the most widely used index for establishing an order of priority for the portfolios to which the investor has access, and the purpose of this investigation is to verify that Sharpe's ratio allows decisions to be made in investment por...

View details

THE NEXUS BETWEEN HEDGE FUND SIZE AND RISK-ADJUSTED PERFORMANCE.

Publication Type:Academic Journal

Source(s):Studia Universitatis Babes-Bolyai, Oeconomica. Dec2021, Vol. 66 Issue 3, p40-56. 17p.

Abstract:This paper explores the relationship between hedge fund size and riskadjusted performance employing a data sample of 245 US hedge funds classified into eight different investment strategies. The studied period spans from January 2005 to February 2021, ...

View details

Revisiting the performance of the scaled momentum strategies.

Publication Type:Academic Journal

Source(s):China Finance Review International. 2022, Vol. 12 Issue 3, p519-539. 21p.

Abstract:Purpose: The main purpose of this study is to enunciate the underlying factors that enhance the performance of scaled momentum strategies. Design/methodology/approach: In previous studies, the negative relationship between the lagged volatility and fut...

View details

The asset growth effect in a mean-variance analysis.

Publication Type:Academic Journal

Source(s):Applied Economics. Aug2022, Vol. 54 Issue 37, p4259-4273. 15p. 11 Charts, 4 Graphs.

Abstract:We study the asset growth effect in a mean-variance analysis. In the asset growth deciles, we uncover a U-shaped relation between asset growth and return volatility and hump-shaped relation between asset growth and Sharpe ratio, with the bottom of the ...

View details

Portfolio optimization under multivariate affine generalized hyperbolic distributions.

Publication Type:Academic Journal

Source(s):International Review of Economics & Finance. Jul2022, Vol. 80, p49-66. 18p.

Abstract:This paper focuses on capturing the impacts of leptokurtic phenomenon and heterogeneous preferences in higher moments on asset allocation. To achieve this, we propose a utility maximization asset allocation framework under the multivariate affine gener...

View details

Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion.

Publication Type:Academic Journal

Source(s):Annals of Operations Research. Jun2022, Vol. 313 Issue 2, p691-712. 22p.

Abstract:Performance analysis is a key process in finance to evaluate or compare investment opportunities, allocations, or management. The classical method is to compute the market or sub-market returns and volatilities, and then calculate the standard performa...

View details

How Does Active Change Affect Investment Efficiency? Evidence from Monthly Account-level Data on Chinese Online Platform.

Publication Type:Academic Journal

Source(s):Emerging Markets Finance & Trade. 2022, Vol. 58 Issue 8, p2191-2202. 12p. 4 Charts, 1 Graph.

Abstract:Using the monthly mutual fund transaction data of individual investors on a large Chinese Fintech platform, the paper studies how does active change in risk-taking affect investment efficiency. In this paper, active change is found to have a positive a...

View details

Implied Ambiguity: Mean-Variance Inefficiency and Pricing Errors.

Publication Type:Academic Journal

Source(s):Management Science. Jun2022, Vol. 68 Issue 6, p4246-4260. 15p.

Abstract:We investigate the optimal portfolio choice problem for an investor who has a utility function of the smooth ambiguity model. We identify necessary and sufficient conditions for a given portfolio to be optimal for such an investor. We define the implie...

View details

banner_970x250 (970x250)

sponsored