Journal ArticleDOI
The Sharpe Ratio
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
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Journal ArticleDOI
A hybrid model of dynamic time wrapping and hidden Markov model for forecasting and trading in crude oil market
TL;DR: Experimental results of the proposed hybrid model of hidden Markov model and dynamic time wrapping are significantly superior to other benchmark methods, demonstrating that the proposed method is not only good at direction prediction and profit making, but also return/risk ratio.
Journal ArticleDOI
Enhanced indexing using weighted conditional value at risk
Ruchika Sehgal,Aparna Mehra +1 more
TL;DR: Empirical analysis exhibits superior performance of the portfolios from the proposed WCVaR model over the respective benchmark indices and additionally the optimal portfolios obtained from various other enhanced indexing models that exist in the literature.
Proceedings ArticleDOI
A Multi-Scale Temporal Feature Aggregation Convolutional Neural Network for Portfolio Management
TL;DR: A novel Ensemble of Identical Independent Inception (EI$^3$) convolutional neural network is proposed, inspired by the Inception network that has achieved great success in computer vision and can extract multi-scale features simultaneously, to provide a deep machine learning solution for the portfolio management problem.
Journal ArticleDOI
Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
TL;DR: A performance-driven gradient boosting model (pdGBM) which predicts short-horizon price movements by combining nonlinear response functions of selected predictors has many advantages including its capability of automatic predictor selection and nonlinear pattern recognition, as well as its simply structured and interpretable output function.
Stock market seasonality : day of the week effect and january effect
Lukas Mazal,Javier Gardeazabal +1 more
TL;DR: In this article, a master's thesis uses a dummy variable approach and an extended dummy variable method to test the existence of calendar effects in the rates of return of commo n stocks, and the simulated portfolios are able to outperform the buy and hold strategy in all the eight indices conside red.
References
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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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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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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.
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.