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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Journal ArticleDOI
Portfolio management system in equity market neutral using reinforcement learning
TL;DR: The developed Portfolio Management System using reinforcement learning with two neural networks is profitable, effective, and offers lower investment risk among almost all datasets, and the novel reward function involving the Sharpe ratio enhances performance, and well supports resource-allocation for empirical stock trading.
Book ChapterDOI
1 Econometric evaluation of asset pricing models
Wayne E. Ferson,Ravi Jagannathan +1 more
TL;DR: In this paper, the authors provide a brief review of the techniques that are based on the generalized method of moments (GMM) and used for evaluating capital asset pricing models and discuss the classical two-stage regression method originally used to evaluate them.
Posted Content
Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings
TL;DR: In this article, the effects of using Sharpe ratio as a performance measure for compensating money managers in a dynamic and frictionless market setting are studied. But the authors focus on the short-term performance of money managers and do not consider the long-term investment horizon of the investor.
Journal ArticleDOI
A new methodology for generating and combining statistical forecasting models to enhance competitive event prediction
TL;DR: A novel pooling mechanism which accounts for competition among contestants is developed, a stacking paradigm integrating conditional logit regression and log-likelihood-ratio-based forecast selection, and the proposed stacking ensemble provides statistically and economically accurate forecasts.
Journal ArticleDOI
A multi-objective approach to the cash management problem
TL;DR: A multi-objective cash management model based on compromise programming that allows cash managers to select the best policies, in terms of cost and risk, according to their risk preferences is proposed.
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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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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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.