longer follow. The capital asset pricing model (CAPM) is an elegant theory. With the aid of some simplifying assumptions, it comes to dramatic conclusions about practical matters, such as how to choose an investment portfolio, how to forecast the expected return of a security or asset class, how to price a new security, or how to price risky assets in a merger or acquisition. The CAPM starts wi...

mutual funds are the best tool to mobilize savings and investments in an economy and pakistan is the pioneer in south asia, but this industry is not as much mature in comparison to its age in pakistan. this paper examines the performance of closed ended mutual funds in pakistan by using five different ranking measures during a period of january 2009 to december 2013 and the sample consists of o...

THEWISSEN, J. G. M., E. M. WILLIAMS, L. J. ROE, AND S. T. HUSSAIN. 2001. Skeletons of terrestrial cetaceans and the relationships of whales to artiodactyls. Nature 413:277–281. TUCKER, A. S., K. L. MATHEWS, AND P. T. SHARPE. 1998 Transformation of tooth type induced by inhibition of BMP signaling. Science 282:1136–1138. TUCKER, A. S., AND P. T. SHARPE. 1999. Molecular genetics of tooth morphoge...

We describe a general method to transform a non-Markovian sequential decision problem into a supervised learning problem using a K-bestpaths algorithm. We consider an application in financial portfolio management where we can train a controller to directly optimize a Sharpe Ratio (or other risk-averse non-additive) utility function. We illustrate the approach by demonstrating experimental resul...

32 Translation © 2002 M.E. Sharpe, Inc., from the original Russian text © 1996 Akademii pedagogicheskikh i sotsial’nykh nauk, “Ot klassicheskoi k ogranicheskoi psikhologii,” Izvestiia Akademii pedagogicheskikh i sotsial’nykh, 1996, no. 1, pp. 8–38. This article was prepared with the support of the Russian Basic Research Foundation, the International Foundation for Basic Research, and the Russia...

The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as a byproduct a new understanding of the means of returns, of the beta coefficient, and of the Sharpe and Treynor ratios. New estimation techniques from automa...

This paper examines hedge fund portfolio selection approaches in isolation and the context of an investor’s overall portfolio. Characteristics-based portfolios that minimize risk delivers superior out-of-sample performance. For instance, a minimum variance tilting toward small funds with high alpha strategy distinctiveness index low systematic annualized Sharpe ratio 2.03 maximum drawdown 5.20%...

We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ratios, and implies that the long bond is far from growth optimality. In contrast, the long forward probabilities forecast an upward sloping term str...

This paper investigates the performance of efficient portfolios in a financial market with heterogeneous investors including rational traders, noise traders, and chartists. A generalization of the security market line result states that, regardless of the diversity of beliefs, the portfolios of rational investors with mean-variance preferences are mean-variance efficient in the sense of classic...

The Sharpe ratio is the prominent risk-adjusted performance measure used by practitioners. Statistical testing of this ratio using its asymptotic distribution has lagged behind its use. In this paper, highly accurate likelihood analysis is applied for inference on the Sharpe ratio. Both the oneand two-sample problems are considered. The methodology has O n−3/2 distributional accuracy and can be...