Abstract This study forms an optimal portfolio using a single index model on LQ45 stocks and compares its performance before during the Covid-19 pandemic. Return, risk, Sharpe ratio, Treynor ratio are compared between period The calculation of excess return to beta results obtains three that make up (2016 2021), namely ANTM, BBCA, INCO, with sequential proportions 89.87%, 1.96%, 8.17%. differen...

The fund manager always pronounces “the high returns from hedge fund are along with low risk. Is the performance of hedge fund manager really good? In this study, the market-timing ability and performance consistency on hedge fund manager are tested. The Sharpe ratio was employed to implement the consistency of performance for mutual fund in the previous literature. Due to the non-normally dist...

We explore the effective gain or loss in alpha from the point of view of the investor due to the volatility of a fund and its correlations to other asset classes. Fund managers and investors can be guided by this to increase the utility that is ultimately delivered to the investor. In this analysis of investor utility the Sharpe ratio is shown to be misleading and the tracking error has no role...

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The r...

iii Evidence for the benefits of international over domestic portfolio diversification is still mixed. In part, this may be due to different methodologies employed. There has recently been a resurgence of interest in Markowitz allocation methods in preference to alternatives such as index models. Accordingly, this paper examines international portfolio optimisation using the full Markowitz meth...

We consider the problem of optimal bidding for virtual trading in two-settlement electricity markets. A virtual trader aims to arbitrage on the differences between day-ahead and real-time market prices; both prices, however, are random and unknown to market participants. An online learning algorithm is proposed to maximize the cumulative payoff over a finite number of trading sessions by alloca...

The distal-less family of homeobox genes contains six members, Dlx1, Dlx2, Dlx3, Dlx5, Dlx6 and Dlx7, arranged in convergent pairs within the genome of mammals. Both genes of a given pair (Dlx1 and Dlx2, Dlx3 and Dlx7, Dlx5 and 6) have been shown to have similar domains of expression (Qiu et al., 1997). Dlx1 and Dlx2 are expressed in the epithelium and mesenchyme of the maxillary and mandibular...

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping the CA...

A Kalman-Filtered Feature-space approach is taken to forecast changes in the ISEQ (Irish Stock Exchange Equity Overall) Index using the previous five days' lagged returns solely as inputs. The resulting model is tantamount to a time-varying (adaptive) technical trading rule, one which achieves an out-of-sample Sharpe ('reward-to-variability') Ratio far superior to the 'buy-and-hold' strategy an...