Journal ArticleDOI
The Sharpe Ratio
Reads0
Chats0
TLDR
The Sharpe Index as mentioned in this paper is a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ).Abstract:
. Over 25 years ago, in Sharpe [1966], I introduced a measure for the performance of mutual funds and proposed the term reward-to-variability ratio to describe it (the measure is also described in Sharpe [1975] ). While the measure has gained considerable popularity, the name has not. Other authors have termed the original version the Sharpe Index (Radcliff [1990, p. 286] and Haugen [1993, p. 315]), the Sharpe Measure (Bodie, Kane and Marcus [1993, p. 804], Elton and Gruber [1991, p. 652], and Reilly [1989, p.803]), or the Sharpe Ratio (Morningstar [1993, p. 24]). Generalized versions have also appeared under various names (see. for example, BARRA [1992, p. 21] and Capaul, Rowley and Sharpe [1993, p. 33]).read more
Citations
More filters
Dissertation
Combining human and machine intelligence for making predictions
TL;DR: Thesis (S.M. in Management Research) as mentioned in this paper, Massachusetts Institute of Technology, Sloan School of Management, June 2013, Boston, MA. 11.5.2013
Journal ArticleDOI
Sustainable Development, Share Price and Carbon Disclosure Interactions: Evidence From South Africa's JSE 100 Companies
Alfred Bimha,Godwell Nhamo +1 more
TL;DR: In this paper, the authors found that the share prices of companies that report voluntarily and participate on a regular or irregular basis in the Carbon Disclosure Project have experienced almost the same impact in terms of share price movements as a result of official disclosure of their carbon emissions.
Tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities
TL;DR: In this article, the authors developed a software program with the embedded Stratonovich-Kalman-Bucy filtering algorithm and the particle filtering algorithm, aiming to track and replicate the hedge fund's optimal investment portfolio strategies in the practical cases of non-Gaussian non-linear chaotic distributions.
Journal ArticleDOI
Effect of Money Supply on the Stock Market
TL;DR: In this article, the authors observed the effect of money supply on the stock market through the portfolio balance channel as a transmission mechanism of monetary policy and found that money supply excercises influence on valuation of S&P 500 index with 6 months lag.
Journal ArticleDOI
Variance-Aware Optimal Power Flow: Addressing the Tradeoff Between Cost, Security, and Variability
Daniel Bienstock,Apurv Shukla +1 more
TL;DR: A number of convex variants of OPF that tradeoff variance and cost minimization are introduced, practical algorithms for the solution of such problems are described, and numerical simulations show that they can translate into power flow patterns with high variance.
References
More filters
Journal ArticleDOI
Liquidity Preference as Behavior towards Risk
TL;DR: In this article, the authors derived the liquidity preference schedule from some assumptions regarding the behavior of the decision-making units of the economy, and those assumptions are the concern of this paper.
Book
Modern Portfolio Theory and Investment Analysis
TL;DR: The Modern Portfolio Theory as discussed by the authors examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, while presenting advanced concepts of investment analysis and portfolio management.
Book
Investment Analysis and Portfolio Management
TL;DR: In this paper, the authors present an approach to learn how to manage money and investments to derive the maximum benefit from what you earn, by combining investment instruments and capital markets with the theoretical detail on evaluating investments and opportunities to satisfy risk-return objectives along with how investment practice and theory is influenced by globalization.
Journal ArticleDOI
How to Use Security Analysis to Improve Portfolio Selection
Jack L. Treynor,Fischer Black +1 more
TL;DR: In this paper, the authors explore the link between conventional subjective, judgmental, work of the security analyst and the essentially objective, statistical approach to portfolio selection of Markowitz and his successors.
Journal ArticleDOI
International Value and Growth Stock Returns
TL;DR: In this article, the International Value and Growth Stock Returns (IVGSR) is used to measure the performance of a stock market stock in terms of its international value and growth.