<p style="text-indent:20px;">In this paper, we investigate sparse portfolio selection models with a regularized <inline-formula><tex-math id="M1">\begin{document}$ l_p $\end{document}</tex-math></inline-formula>-norm term id="M2">\begin{document}$ (0<p\leq 1) $\end{document}</tex-math></inline-formula> and negatively bounded shorting constrain...

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...

in this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by rahnamaye roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with sharpe and treynor performance measures and tested by an active portfolio management approach to identify the portfolios by perform...

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...

In this project machine learning techniques were used to generate technical trading strategies in the US interest rate swap markets. Leela, a correlation algorithm that is closely related to autoregression, was developed to detect short term repeating patterns to predict future market moves. This algorithm exhibited a Sharpe Ratio of 1 when applied to a single swap. When additional swaps were u...

The problem of capital allocation to a set of strategies could be partially avoided or at least greatly simplified with an appropriate strategy approval decision process. This paper proposes such procedure. We begin by splitting the capital allocation problem into two sequential stages: Strategy approval and portfolio optimization. Then we argue that the goal of the second stage is to beat a na...