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
How to combine a billion alphas
Zura Kakushadze,Willie Yu +1 more
TL;DR: In this paper, an explicit algorithm and source code for computing optimal weights for combining a large number N of alphas is given, which does not require computing principal components or inverting large matrices, nor does it require iterations.
Journal ArticleDOI
Is there an appropriate measure of managerial skill and performance
Posted Content
Automatic financial trading agent for low-risk portfolio management using deep reinforcement learning
TL;DR: A deep reinforcement learning based trading agent that can manage the portfolio considering not only profit maximization but also risk restraint, and a new target policy to allow the trading agent to learn to prefer low-risk actions is proposed.
Journal ArticleDOI
Benchmark Orthogonality Properties
TL;DR: In this paper, a manager's benchmark is defined as a passive representation of the manager's investment process, and it is used to evaluate the performance of an investment manager's performance.
Journal ArticleDOI
Skewness preference and the measurement of abnormal returns
TL;DR: In this paper, the quadratic characteristic line (QCL) was used to compare the performance of the LCL model and the QCL model for stock market returns, and it was shown that the cumulative average returns obtained using QCL outperformed those obtained using LCL in the event time and the CAR space for the dividend increase sub-sample.
References
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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.
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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.
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.