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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Book ChapterDOI
Integrated risk control using stochastic programming ALM models for money management
TL;DR: In this paper, a multistage stochastic programming based approach is developed for asset and liability management for fund managers, which is applied to stock fund management involving a large number of securities and its performance is demonstrated with various strategies for portfolio rebalancing.
Journal ArticleDOI
A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin
Yanzhao Zou,Dorien Herremans +1 more
TL;DR: In this paper , a multimodal model for predicting extreme price fluctuations is proposed, which takes as input a variety of correlated assets, technical indicators, as well as Twitter content.
Posted Content
Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach
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Journal ArticleDOI
Noise Canceling in Volatility Forecasting Using an Adaptive Neural Network Filter
TL;DR: An adaptive threshold filter is designed to respond to changes in its environment when a GARCH(1,1) model makes errors in its volatility forecast, and it is shown that this filter can forecast the noise (errors) in the GARCH (1, 1) outputs when there is a non-stationary time series of errors.
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Zur Ermittlung eines marktgerechten Erbbauzinses – ein Praktikermodell
TL;DR: In this article, a praxisbezogener, auf der Kapitalmarkttheorie basierender Ansatz fur die Festlegung marktgerechter Erbbauzinsen dargestellt, gezeigt, durch den Erbbauberechtigten ohne Einbusen in seiner Rendite/Risiko-Position gegenuber Volleigentum geschehen kann.
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.