Fund managers highly prioritize selecting portfolios with a high Sharpe ratio. Traditionally, this task can be achieved by revising the objective function of the Markowitz mean-variance portfolio model and then resolving quadratic programming problems to obtain the maximum Sharpe ratio portfolio. This study presents a closed-form solution for the optimal Sharpe ratio portfolio by applying Cauch...

We analyze the risk characteristics and the valuation of assets in an economy in which the investment opportunity set is described by the real interest rate and the maximum Sharpe ratio. It is shown that, holding constant the beta of the underlying cash flow, the beta of a security is a function of the maturity of the cash flow. For parameter values estimated from U.S. data, the security beta i...

We analyze the risk characteristics and the valuation of assets in an economy in which the investment opportunity set is described by the real interest rate and the maximum Sharpe ratio. It is shown that, holding constant the beta of the underlying cash flow, the beta of a security is a function of the maturity of the cash flow. For parameter values estimated from U.S. data, the security beta i...

A common form of competition is one where judges grade contestants’ performances which are then compiled to determine the final ranking of the contestants. Unlike in another common form of competition where two contestants play a head-to-head match to produce a winner as in football or basketball, the objectivity of judges are prone to be questioned, potentially undermining the public’s trust i...

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 ...

************************************************************************ ATM Forum Document Number: ATM_Forum/99-0045 ************************************************************************ Title: Throughput Fairness Index: An Explanation ************************************************************************ Abstract: The performance testing document uses a particular function to quantify fa...

This paper intends to research on the link between musical similarity and style and sub-style (variant) classification in the context of flamenco a cappella singing styles. Given the limitation of standard computational models for melodic characterization and similarity computation in this particular context, we have proposed a specific set of melodic features adapted to flamenco singing styles...

Wireless access based on slotted Aloha with selfish users may result in very inefficient use of the system resources. To impose cooperation and fairness in such systems, we propose an optimal pricing strategy, based on which the service provider can regulate the overall network behavior. As the users’ utility incorporates the price paid for using the spectrum, by striving to improve their own p...