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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Robust portfolio selection for index tracking
Chen Chen,Roy H. Kwon +1 more
TL;DR: Compared to portfolios constructed with the nominal model, moderately conservative robust portfolios are shown to have lower tracking error and risk profiles that are more similar to the target index.
Journal Article
Bias and consistency of the maximum Sharpe ratio
TL;DR: In this paper, the authors show that the maximum Sharpe ratio obtained via the Markowitz optimization procedure from a sample of returns on a number of risky assets is, under commonly satisfied assumptions, biased upwards for the population value.
Journal ArticleDOI
Deep Reinforcement Learning for Automated Stock Trading: An Ensemble Strategy
TL;DR: An ensemble strategy that employs deep reinforcement schemes to learn a stock trading strategy by maximizing investment return is proposed and shown to outperform the three individual algorithms and two baselines in terms of the risk-adjusted return measured by the Sharpe ratio.
Journal ArticleDOI
Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach
TL;DR: In this paper, the authors investigated the temporal and frequency domain connectedness between the price of crude oil and ten major agricultural commodities and found that the connectedness increases post-2006 across all considered frequencies of return movements.
Journal ArticleDOI
Computing the Nondominated Surface in Tri-Criterion Portfolio Selection
TL;DR: An exact method for computing the nondominated set of a tri-criterion program that is all linear except for the fact that one of its objectives is to minimize a convex quadratic function is demonstrated.
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.