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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Journal ArticleDOI
Multivariate stochastic dominance applied to sector-based portfolio selection
TL;DR: In this paper, the authors investigate whether sector-weighted portfolios based on alternative parametric assumptions are consistent with multivariate stochastic dominance (MSD) conditions for a class of non-satiable risk-averse investors.
Book ChapterDOI
Returns, Risk, and Financial Due Diligence
Christopher L. Culp,J.B. Heaton +1 more
TL;DR: In this paper, the authors review basic concepts of risk and return in financial economics with an eye toward the quantitative aspects of financial due- diligence, and illustrate the applications of these concepts in financial due diligence using the example of Bernard Madoff Investment Securities.
Journal ArticleDOI
Performance and Role of Singapore REITs in Multi-Asset Class Investment Portfolios
TL;DR: In this article, the authors examined the performance of the Singapore Real Estate Investment Trust (S-REITs) over a period of one year from January 2003 to December 2007 and provided evidences that S-REITS could be considered as a separate asset class when investors look to diversify and strategically better allocate their asset composition within their investment portfolios.
Journal ArticleDOI
Sustainable housing: A ground lease partnership model
TL;DR: In this article, the authors propose to use public leasehold approaches to ease the conflicts between social and ecological targets in the context of strained housing markets, which may conflict with each other.
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.
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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.
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.