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
Dynamic optimal portfolio choice under time-varying risk aversion
Antonio Díaz,Carlos Esparcia +1 more
TL;DR: In this article, the authors empirically analyze the possible advantages of modeling a time-varying risk aversion that best fits investors' behavior in the context of the optimal portfolio choice.
Proceedings ArticleDOI
A Deep Deterministic Policy Gradient-based Strategy for Stocks Portfolio Management
TL;DR: In this paper, a policy-based reinforcement learning framework was proposed for trading with machine learning algorithms and the performance of the strategy was compared with other strategies, e.g., Uniform Buy and Hold, Exponential Gradient and Universal Portfolios.
Journal ArticleDOI
Decentralized Robust Portfolio Optimization Based on Cooperative-Competitive Multiagent Systems
TL;DR: In this article , a decentralized robust portfolio optimization based on multiagent systems is proposed, which is first formulated as two distributed minimax optimization problems in a Markowitz return-risk framework.
Journal ArticleDOI
Analyzing operational risk-reward trade-offs for start-ups
Preetam Basu,Suresh K. Nair +1 more
TL;DR: A novel approach to track mean as well as variance of a set of policies in a dynamic stochastic programming model and using the mean-variance solutions in a simple heuristic for creating efficient risk-reward frontiers is presented.
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.
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.