Interval Estimation for the Sortino Ratio and the Omega Ratio
نویسندگان
چکیده
منابع مشابه
Interval Estimation for the Sortino Ratio and the Omega Ratio
In this paper asymptotic confidence intervals for the Sortino and Omega Ratio are proposed and analyzed. First the confidence intervals are derived under the strong assumption of temporal independence and identical distribution of the returns. Later they are obtained assuming that the process followed by returns is strictly stationary and α-mixing of a certain size. In order to evaluate the min...
متن کاملthe search for the self in becketts theatre: waiting for godot and endgame
this thesis is based upon the works of samuel beckett. one of the greatest writers of contemporary literature. here, i have tried to focus on one of the main themes in becketts works: the search for the real "me" or the real self, which is not only a problem to be solved for beckett man but also for each of us. i have tried to show becketts techniques in approaching this unattainable goal, base...
15 صفحه اولGenetic Programming for the Investment of the Mutual Fund with Sortino Ratio and Mean Variance Model∗
In this paper, we propose two geneticprogramming-based models that improve the trading strategy for mutual funds. These two models can get better returns and reduce risks. The first model increases the return by selecting funds with high Sortino ratios and allocates the capital equally, achieving the best annualized return. The second model also selects funds with high Sortino ratios, but reduc...
متن کاملThe omega-6/omega-3 fatty acid ratio: health implications
The Center for Genetics, Nutrition and Health, 2001 S Street, NW, Suite 530, Washington DC 20009 USA Abstract: Today, Western diets are characterized by a higher omega-6 and a lower omega-3 fatty acid intake, whereas during the Paleolithic period when human’s genetic profile was established, there was a balance between omega-6 and omega-3 fatty acids. Their balance is an...
متن کاملModifications of the Omega ratio for decision making under uncertainty
The Omega ratio (Ω-ratio) was proposed by Shadwick and Keating in 2002 as a performance measure applied to rankings of assets, portfolios or funds. It involves partitioning returns into loss and gain below and above a given threshold. The original version was designed for decision making under risk (probabilities completely known), but recent research has shown that this measure can be adapted ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications in Statistics - Simulation and Computation
سال: 2013
ISSN: 0361-0918,1532-4141
DOI: 10.1080/03610918.2012.722808