نتایج جستجو برای: sharpe ratio

تعداد نتایج: 502961  

1999
Wei Xie

Markov regenerative processes (MRGPs) constitute a more general class of stochastic processes than traditional Markov processes. Markovian dependency, the first-order dependency, is the simplest and most important dependency in stochastic processes. Past history of a Markov chain is summarized in the current state and the behavior of the system thereafter only depends on the current state. Sojo...

Journal: :Econometrics 2022

The green bond market is emerging as an impactful financing mechanism in climate change mitigation efforts. effectiveness of the financial for this transition to a low-carbon economy depends on attracting investors and removing roadblocks. This paper investigates differential performance vs non-green bonds with (1) dynamic portfolio model that integrates negative well positive externality effec...

Journal: :Oper. Res. Lett. 2005
Mustafa Ç. Pinar Reha H. Tütüncü

For a set of risky financial securities whose expected return vector and covariance matrix are given, we propose the concept of a robust profit opportunity as an alternative to arbitrage opportunities. We formulate the problem of finding the “most robust” profit opportunity in a single investment period, and show that it can be solved as a convex quadratic programming problem. Furthermore, we d...

2009
Miranda C. Montgomery Thashika D. Rupasinghe Mary E. Kurz

Using a Genetic Algorithm (GA), an artificial intelligence technique, this study proposes an user-interactive dynamic portfolio selection strategy using a decision support system that will generate an optimal investment mix of assets based on user selection by maximizing the return of the Sharpe Ratio, a measure of the excess return received on a portfolio for the increase of volatility by acqu...

Journal: :CoRR 2016
Guy Uziel Ran El-Yaniv

We consider online learning of ensembles of portfolio selection algorithms and aim to regularize risk by encouraging diversification with respect to a predefined risk-driven grouping of stocks. Our procedure uses online convex optimization to control capital allocation to underlying investment algorithms while encouraging non-sparsity over the given grouping. We prove a logarithmic regret for t...

Journal: :J. Economic Theory 2012
Peter Ove Christensen Kasper Larsen Claus Munk

In a finite time horizon, incomplete market, continuous-time setting with dividends and investor incomes governed by arithmetic Brownian motions, we derive closed-form solutions for the equilibrium risk-free rate and stock price for an economy with finitely many heterogeneous CARA investors and unspanned income risk. In equilibrium, the Sharpe ratio is the same as in an otherwise identical comp...

2007
Erhan Bayraktar

Abstract: We develop a theory 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 correlated to the non-traded asset. Second, we appl...

2016
Kent Daniel Robert J. Hodrick Zhongjin Lu

We find important differences in dollar-based and dollar-neutral G10 carry trades. Dollar-neutral trades have positive average returns, are highly negatively skewed, are correlated with risk factors, and exhibit considerable downside risk. In contrast, a diversified dollar-carry portfolio has a higher average excess return, a higher Sharpe ratio, minimal skewness, is unconditionally uncorrelate...

2016

We propose a simple model to quantify the performance impact of closet-indexing in equity fund management, with a focus on mutual funds. The model requires only two inputs: the Sharpe ratio of the market index and the Rsquare from a regression of a fund’s excess returns on systematic factor returns. Due to pervasive closet-indexing, R-squares are uniformly close to one, regardless of the asset ...

2013
PAUL SCHNEIDER Anthony Neuberger Peter Norman Sørensen Fabio Trojani Christian Wagner

Using a new measure for predictability combining economic and statistical criteria I find that in the S&P 500 market neither stochastic volatility, nor valuationbased information are advantageous over a homoscedastic return model. The testing framework is based on a benchmark trading strategy with optimal Sharpe ratio. The strategy’s expected excess returns naturally accommodate compensation fo...

نمودار تعداد نتایج جستجو در هر سال

با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید