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...

Current research suggests that the large downside risk in hedge fund returns disqualifies the variance as an appropriate risk measure. For example, one can easily construct portfolios with nonlinear pay-offs that have both a high Sharpe ratio and a high downside risk. This paper examines the consequences of shortfall-based risk measures in the context of portfolio optimization. In contrast to p...

We evaluate the probability that an estimated Sharpe ratio exceeds a given threshold in presence of non-Normal returns. We show that this new uncertainty-adjusted investment skill metric (called Probabilistic Sharpe ratio, or PSR) has a number of important applications: First, it allows us to establish the track record length needed for rejecting the hypothesis that a measured Sharpe ratio is b...

The fund manager always pronounces “the high returns from hedge fund are along with low risk. Is the performance of hedge fund manager really good? In this study, the market-timing ability and performance consistency on hedge fund manager are tested. The Sharpe ratio was employed to implement the consistency of performance for mutual fund in the previous literature. Due to the non-normally dist...

The Conference of the Parties to United Nations Framework Convention on Climate Change (COP27) reiterated that climate change remains a critical issue for humanity. Especially, it stressed need encourage clean energy mix, including renewable and low-emission energies, as part continuing transition toward cleaner sustainable energy. Using daily indices data covering period 1st January 2017 28th ...

To circumvent the limitations of the tests for coefficients of variation and Sharpe ratios, we develop the mean-variance-ratio statistic to test the equality of the meanvariance ratios and prove that our proposed statistic is uniformly most powerful unbiased. In addition, we illustrate the applicability of our proposed test to compare the performances of stock indices.

This study analyzed land use and land cover changes and their impact on land surface temperature using Landsat 5 Thematic Mapper and Landsat 8 Operational Land Imager and Thermal Infrared Sensor imagery of the Yellow River Delta. Six Landsat images comprising two time series were used to calculate the land surface temperature and correlated vegetation indices. The Yellow River Delta area has ex...

many performance measures, such as the classical sharpe ratio have difficulty in evaluating the performance of investment companies whose return distributions are skewed. common causes for skew ness are the use of options in the portfolio or superior market timing skills of the portfolio managers. in this article, we examine the ability of the downside risk and the upside potential ratio (upr) ...