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
Citations
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An Approach to Adjusting Analysts' Consensus Forecasts for Selection Bias*
TL;DR: In this article, the authors attempt to undo the effect of one potential source of optimistic bias in analysts' earnings forecasts by estimating the true population mean using maximum likelihood and find that their estimates of earnings are more accurate and less biased than standard measures of sample mean and median.
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The Role of Media in the Credit Crunch: The Case of the Banking Sector
TL;DR: In this article, the authors investigated the relationship between negative media speculation and the market performance of financial institutions and provided evidence that over the subprime crisis period pessimistic coverage Granger-caused the returns on banking indices, while causality in the opposite direction proved weaker.
Journal ArticleDOI
Optimising marketing spend: return maximisation and risk minimisation in the marketing portfolio
TL;DR: In this article, the authors developed a model that calculates an efficient frontier of marketing portfolios that maximise overall return within certain risk constraints, first for a simple two-segment marketing world and then for a more realistic multisegment portfolio.
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The Generalized Treynor Ratio
TL;DR: The generalized treynor ratio as mentioned in this paper is defined as the abnormal return of a portfolio per unit of premium-weighted average systematic risk, normalized by the premiumweighted averagesystematic risk of the benchmark.
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A memetic algorithm for cardinality-constrained portfolio optimization with transaction costs
TL;DR: A genetic algorithm is proposed in which the candidate portfolios are encoded using a set representation to handle the combinatorial aspect of the optimization problem, and it is found that using certain regularization mechanisms results in more efficient portfolios.
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.
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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.