Journal ArticleDOI
The Sharpe Ratio
Reads0
Chats0
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
More filters
Journal ArticleDOI
The Dilemma of Service Productivity and Service Innovation: An Empirical Exploration in Financial Services
TL;DR: A systematic exploratory investigation of the effects of firms’ existing service productivity on the success of their new service innovations reveals a fundamental service productivity-service innovation dilemma and demonstrates that a focused customer scope and growth market conditions may enable firms to mitigate the dilemma and successfully pursue service productivity and service innovation simultaneously.
Journal ArticleDOI
A deep Q-learning portfolio management framework for the cryptocurrency market
TL;DR: A novel deep Q-learning portfolio management framework composed of a set of local agents that learn assets behaviours and a global agent that describes the global reward function that has proven to be a promising approach for dynamic portfolio optimization.
Journal ArticleDOI
Deep reinforcement learning for portfolio management of markets with a dynamic number of assets
Carlos Betancourt,Wen-Hui Chen +1 more
TL;DR: The proposed neural network architecture considers all assets in the market, and automatically adapts when new ones are suddenly introduced, making the method more general and sample-efficient than previous methods.
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 examined by examining portfolio allocation between the two types of stocks over different horizons, and the results show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks.
Posted Content
The performance of open-end international mutual funds
TL;DR: In this paper, the authors investigated whether exploitable foreign market inefficiencies exist by studying the performance of a large sample of international open-end mutual funds during the 1990s and found that a large percentage of well-diversified international funds outperform their passive benchmarks in a statistically significant manner, but regional and country funds do not.
References
More filters
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.
Book
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.
Book
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.