نتایج جستجو برای: sharpe ratio

تعداد نتایج: 502961  

2007
Virginia R. Young

We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our valuation formula satisfies a number of desirable properties, many of which it shares with the standard deviation premium principle. The major result of the paper i...

2002
Malik Magdon-Ismail Amir F. Atiya Amrit Pratap Yaser S. Abu-Mostafa

2000
Xiu Gao Laiwan Chan

A trading and portfolio management system called QSR is proposed. It uses Q-learning and Sharpe ratio maximization algorithm. We use absolute proot and relative risk-adjusted proot as performance function to train the system respectively, and employ a committee of two networks to do the testing. The new proposed algorithm makes use of the advantages of both parts and can be used in a more gener...

2007
Erhan Bayraktar

Abstract: We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is...

Journal: :Mathematics 2023

In this paper, we establish a new coherent risk measure on Lp, which refer to as the monotone mean Lp-deviation measure. Then, related properties are discussed. Furthermore, from perspective of acceptance set, discuss relationship between and Sharpe ratio Finally, extend multivariate setting.

Journal: :Annals and Magazine of Natural History 1910

Journal: :Journal of Dairy Research 1999

Journal: :Decision Support Systems 2004
Kai Chun Chiu Lei Xu

Ever since the inception of Markowitz’s modern portfolio theory, static portfolio optimization techniques were gradually phased out by dynamic portfolio management due to the growth of popularity in automated trading. In view of the intensive computational needs, it is common to use machine learning approaches on Sharpe ratio maximization for implementing dynamic portfolio optimization. In the ...

2012
Jin Xu

Stock portfolio selection is a classic problem in finance, and it involves deciding how to allocate an institution’s or an individual’s wealth to a number of stocks, with certain investment objectives (return and risk). In this paper, we adopt the classical Markowitz mean-variance model and consider an additional common realistic constraint, namely, the cardinality constraint. Thus, stock portf...

2003
Jiang Liu Ke Peng Shiyun Wang

working papers are produced by the Bradford University School of Management and are to be circulated for discussion purposes only. Their contents should be considered to be preliminary. The papers are expected to be published in due course, in a revised form and should not be quoted without the author's permission. ABSTRACT This paper studies the economic significance of stock and bond return p...

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