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
Posted Content
Performance Persistence of Equity Funds in Hungary
TL;DR: In this article, the authors examined the phenomenon of performance persistence of equity funds in Hungary in two time perspectives: 1-year and 6-month perspectives, and confirmed the occurrence of performance dependence in consecutive periods.
Journal ArticleDOI
An improved method for solving Hybrid Influence Diagrams
TL;DR: This paper solves a HID by transforming it to a Hybrid Bayesian Network (HBN) and carrying out inference on this HBN using Dynamic Discretization (DD).
Journal ArticleDOI
Conditional Sharpe Ratios
K. Victor Chow,Christine W. Lai +1 more
TL;DR: Conditional Sharpe ratios (CSR) as discussed by the authors are statistical ordinates of conditional stochastic dominance (CSD ) that measure lower partial risk-adjusted excess returns of an asset with respect to return distribution on the benchmark.
Journal ArticleDOI
Shortfall minimization and the Naive (1/N) portfolio: an out-of-sample comparison
TL;DR: In this article, the authors compare the performance of naive portfolio selection to several recently developed shortfall-minimizing portfolio selection methods in out-of-sample data and find that naive diversification outperforms optimal portfolio selection in out of sample data.
Journal ArticleDOI
Robust reward–risk ratio optimization with application in allocation of generation asset
Xiaojiao Tong,Felix F. Wu +1 more
TL;DR: The new robust ratio model is reduced equivalently to convex optimization problems with a min–max optimization framework based on the positive homogenous and concave/convex measures of reward and risk, respectively.
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.