This study aims at investigating the performance of Indian stock indices augmenting carbon emissions such as BSE Energy index and Oil & Gas vis a-vis BSESNSEX, apex representing market, also those capturing commitment industries towards mitigating risks arising from pollution climate change, Greenex Carbonex, with reference to investors’ benchmark viz., BSESENSEX, during period January 2010...

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability offer a better risk–return trade-off than traditionally structured passive indices. Yet, research covering performance SB ETFs benchmarked traditional cap-weighted market indices remains relatively scarce. There is lack empirical evidence enforcing this phenomenon. Extending work Glus...

While many trading strategies are based on price prediction, traders in financial markets are typically interested in optimizing risk-adjusted performance such as the Sharpe Ratio, rather than the price predictions themselves. This paper introduces an approach which generates a nonlinear strategy that explicitly maximizes the Sharpe Ratio. It is expressed as a neural network model whose output ...

Academics and practitioners optimize portfolios using the mean-variance approach far more often than the meansemivariance approach, despite the fact that semivariance is often considered a more plausible measure of risk than variance. The popularity of the mean-variance approach follows in part from the fact that mean-variance problems have well-known closed-form solutions, whereas meansemivari...

The purpose of this study is two-fold. First, it is to invert an insurance industry index(s) from a linearly independent factor structure derived from the application of the Ross (1976) arbitrage-pricing model (APT) on a sample of insurance industry returns. The second objective is to identify the effect this index has on the performance of the Sharpe multi-index model in the formation of the m...

Production of high quality interpolation maps of heavy metals is important for risk assessment of environmental pollution. In this paper, the spatial correlation characteristics information obtained from Moran's I analysis was used to supplement the traditional geostatistics. According to Moran's I analysis, four characteristics distances were obtained and used as the active lag distance to cal...

In this paper we analyze the influence of market climates on mutual fund Sharpe ratios. First, in a theoretical analysis based on a common factor model in performance analysis, we show that a significant bias results from market climate – in addition to the obvious influence of fund management performance. Market climate is determined by the random mean and standard deviation of market excess r...

Mutual fund selection is a notoriously difficult task, because past performance poor predictor of future performance. We propose measure that incorporates simple idea: shrinkage, in the sense Bayes-James-Stein, should be applied to gross return parameters, but not fees, which are known. The proposed Shrinkage Adjusted Sharpe ratio (SAS) substantially improves prediction out-of-sample relative e...

This paper proposes a method which combines a clustering technique with asset allocation methods, to improve portfolio Sharpe ratios and weights stability. The portfolio weights are computed based on cluster members and cluster portfolios, which are decided by an optimal cluster pattern. The optimized cluster pattern tells the belonging of assets to particular clusters, which is identified by u...