Optimal asset allocation well-fitting the investors goals is a pressing challenge in risk management. In spite of Sharpe ratio, Sortino-Satchell, Generalized Rachev and Farinelli-Tibiletti ratios are new parameter-dependent performance ratios able to suit the investor risk profile. Five investor prototypes are studied and fifteen tailormade optimal asset paths are traced over a rolling twelve m...

In this paper asymptotic confidence intervals for the Sortino and Omega Ratio are proposed and analyzed. First the confidence intervals are derived under the strong assumption of temporal independence and identical distribution of the returns. Later they are obtained assuming that the process followed by returns is strictly stationary and α-mixing of a certain size. In order to evaluate the min...

We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We take the standpoint of the world investor and we construct portfolios in international and local currencies based on five optimization models and two risk measures. We then compare the portfolio out-of-sample performance based on Sharpe and Sortino ratios thro...

This paper proposes a new stochastic volatility model with time-varying expected return, which enables us to predict returns based on exponential moving averages of the past returns frequently used in practice. Particularly, exploiting a particle filter in a self-organizing state space framework, we demonstrate that a simple return predictionbased strategy is superior to well-known strategies s...

Tujuan dari penelitian ini untuk menganalisis tingkat efisiensi pasar modal bentuk kuat di Indonesia dengan melakukan perbandingan antara kinerja saham reksa dana saham. Jenis data pada adalah kuantitatif yaitu sekunder dalam harian tahun 2021. Metode yang digunakan Jensen Index, Sharpe Treynor Ratio, Information Ratio dan Sortino Ratio. Hasil menunjukkan bahwa tidak berada kuat. Maka implikasi...

Eling and Schuhmacher (2007) compared the Sharpe ratio with other performance measures and found virtually identical rank ordering using hedge fund data. They conclude that the choice of performance measure has no critical influence on fund evaluation and that the Sharpe ratio is generally adequate for analyzing hedge funds. Nevertheless, their analysis does not include the class of tailor-made...

If we exclude the assumption of normality in return distributions, the classical risk–reward Sharpe Ratio becomes a questionable tool for ranking risky projects. In line with Sharpe thinking, a general risk–reward ratio suitable to compare skewed returns with respect to a benchmark is introduced. The index includes asymmetrical information on: (1) ‘‘good’’ volatility (above the benchmark) and ‘...

Bu çalışmada koşullu riske maruz değer (Conditional value-at-risk, CVaR), maksimum düşüş oranı (Maximum drawndown, MDD), Omega rasyosu ve Markowitz (1952) ortalama-varyans yönteminden oluşan dört farklı portföy optimizasyon yönteminin performansları aylık veriler kullanılarak Ocak 2000 ile Eylül 2020 dönemi için karşılaştırılmıştır. Portföy yöntemleri hedeflenen üç yıllık getiri dikkate alınara...

Bu çalışmada kripto para piyasalarına dayalı statik ve dinamik portföy optimizasyon analizlerine yer verilmiştir. Analizlerde şartlı riske maruz değer yöntemi, risk paritesi minimum varyans Shrape rasyosu yöntemi ile eşit ağırılıklandırma kullanılmıştır. Portföy performanslarının ölçümünde Sortino rasyosu, Calmar Sharpe değişim katsayılarından yararlanılmıştır. Optimal portföylerin finansal düz...