Journal ArticleDOI
The Sharpe Ratio
TLDR
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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Asset Allocation in a Value-at-Risk Framework
TL;DR: In this paper, the authors developed an asset allocation model which allocates assets by maximising expected return subject to the constraint that the expected maximum loss should meet the Value-at-Risk limits set by the risk manager.
Journal ArticleDOI
On back-testing "zero-investment" strategies
TL;DR: In this article, the impact of short-selling constraints on economic profitability was analyzed in zero-investment strategies, where a long portfolio in one set of securities and a short portfolio in another are identified by the use of some trading rule.
Journal ArticleDOI
Investment Horizon Effect on Asset Allocation between Value and Growth Strategies
TL;DR: In this article, the optimal asset allocation between value and growth strategies over various investment horizons is investigated by analyzing the returns of a particular investment strategy across multiple investment horizon, including Fama-French versus Standard & Poor's (S&P) 500/Barra portfolios.
Journal ArticleDOI
When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio
Li Chen,Simai He,Shuzhong Zhang +2 more
TL;DR: In this article, a quantitative risk management plays a key role in quantitative finance, and financial institutions are typically equipped with quantitative risk control division to evaluate the risks before trading and trading.
Proceedings Article
Confidence-Aware Matrix Factorization for Recommender Systems.
TL;DR: This paper proposes a Confidence-aware Matrix Factorization (CMF) framework to simultaneously optimize the accuracy of rating prediction and measure the prediction confidence in the model, and introduces variance parameters for both users and items in the matrix factorization process.
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.
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.