Journal ArticleDOI
The Sharpe Ratio
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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
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To bet or not to bet: a reality check for tennis betting market efficiency
Štefan Lyócsa,Tomáš Výrost +1 more
TL;DR: In this paper, the authors present evidence that the tennis betting market appears to be much more efficient than suggested by previous studies, and they study the market efficiency by studying the forecasting performance of a diversified set of 40 betting rules in two ways: by searching for the existence of a return differential between betting rules and by analysing the profitability of betting rules.
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Asset portfolio multi-objective optimization tools provide insight to value, risk and strategy for gas and oil decision makers
TL;DR: The benefits of applying a suite of optimizers to mean versus semi-standard deviation stochastic multi-year cash flow and income models are explored with the aid of the hypothetical Portfolio X consisting of eleven upstream assets.
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A portfolio construction framework using LSTM‐based stock markets forecasting
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Coastal dynamics and adaptation to uncertain sea level rise: Optimal portfolios for salt marsh migration
TL;DR: In this paper, the authors developed the first adaptation portfolio model designed to optimize the benefits of a migrating coastal system, which was illustrated using a case study of marsh conservation in Virginia, USA.
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Superannuation Funds and Property Allocation Strategies: What is the Mix? Direct Property, Listed Property or Both?
TL;DR: In this paper, the authors examined the diversification benefits of direct and listed property in a mixed asset portfolio using nine different asset allocation models, including the industry superannuation fund conventional strategic investment approach.
References
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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.
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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.
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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.
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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.
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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.