نتایج جستجو برای: sharpe ratio

تعداد نتایج: 502961  

2003
Mila Getmansky Andrew W. Lo Igor Makarov

The returns to hedge funds and other alternative investments are often highly serially correlated. In this paper, we explore several sources of such serial correlation and show that the most likely explanation is illiquidity exposure and smoothed returns. We propose an econometric model of return smoothing and develop estimators for the smoothing profile as well as a smoothing-adjusted Sharpe r...

2017
Kexin Yu

● The classic Markowitz model that optimizes for the Sharpe ratio has proven to be suboptimal. ○ Summary is used directly as prediction. ○ Variance is not a good risk measurement since it penalizes positive shocks and says little about tail risks ● Other risk measurements such as Value-at-Risk and Expected Shortfall introduce non-linear, non-convex risk constraints and render the mean-variance ...

Journal: :European Journal of Operational Research 2008
Ian Buckley David Saunders Luis Seco

Portfolios of assets whose returns have the Gaussian mixture distribution are optimized in the static setting to find portfolio weights and efficient frontiers using the probability of outperforming a target return and Hodges’ modified Sharpe ratio objective functions. The sensitivities of optimal portfolio weights to the probability of the market being in the distressed regime are shown to giv...

2005
Michael Monoyios

We consider an incomplete market model with one traded stock and two correlated Brownian motions W, f W . The Brownian motion W drives the stock price, whose volatility and Sharpe ratio are adapted to the filtration e F := ( e Ft)0≤t≤T generated by f W . We show that the projections of the minimal entropy and minimal martingale measures onto e FT are related by an Esscher transform involving th...

Journal: :British journal of community nursing 2002
Tom Pollard

We hypothesize that owing to limited investor attention and skepticism of complexity, innovative diversity (ID) of a firm's patent portfolio will be undervalued. ID strongly predicts stock returns after controlling for firm characteristics and risk. High ID portfolios provide Carhart alphas of 56-81 basis points per month and stronger and less volatile operating performance. The Diversified Min...

1998
N. Towers A. N. Burgess

In the context of a dynamic trading strategy, the ultimate purpose of any forecasting model is to choose actions which result in the optimisation of the trading objective. In this paper we develop a methodology for optimising an objective function, using a parameterised decision rule, for a given forecasting model. We simulate the expected trading performance for different decision parameters a...

2008
Qiang Kang Qiao Liu Rong Qi Peter J. Tobin

We propose market timing strategies aiming to exploit the aggregate accruals’ return forecasting power. We examine several performance metrics of the aggregate accruals based market timing strategy such as excess portfolio return, Sharpe ratio, and Jensen’s alpha. We provide robust evidence that, relative to the passive investment strategy of buying and holding the stock market, the market timi...

2003
Kai Chun Chiu Lei Xu

In this paper, we aim at introducing how one of the recently developed statistical learning techniques, temporal factor analysis (TFA), which is originally devoted for further study of the arbitrage pricing theory (APT), could be exploited in financial data mining to determine weights in portfolio optimization problem. Furthermore, we study several variants of the APT-based Sharpe ratio maximiz...

2008
Almira Biglova

In this note, we examine the impact of non linear reward and risk measures on portfolio selection. In particular, we compare the ex-post …nal wealth sample paths of strategies based on the Sharpe ratio and strategies based on non-linear reward/risk measures. As suggested by the recent literature, we model dependencies with an asymmetric t copula estimated on the innovations of the marginals tha...

Journal: :Neuro-Ophthalmology 2015

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