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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The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity: A New Perspective
TL;DR: This article provided empirical evidence that deviations from uncovered interest rate parity (UIP) condition display significant nonlinearities, which have a natural interpretation consistent with several recent theories based on transactions costs or limits to speculation in the foreign exchange market.
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Are stock markets really so inefficient? The case of the “Halloween Indicator”
Hubert Dichtl,Wolfgang Drobetz +1 more
TL;DR: In this article, the authors used regression models as well as Hansen's (2005) "Superior Predictive Ability" test to analyze whether stock markets are really so inefficient and reject the hypothesis that a trading strategy based on the Halloween effect significantly outperforms.
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Portfolio Manager Ownership and Mutual Fund Risk Taking
Linlin Ma,Yuehua Tang +1 more
TL;DR: Overall, the evidence suggests that portfolio manager ownership serves as an incentive alignment mechanism and has important implications to fund investors.
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Stock market index prediction using deep Transformer model
TL;DR: In this paper , a deep learning framework, Transformer, was used to predict the stock market index, which can capture the non-linear characteristics of stock markets and, accordingly, achieve a high performance on index prediction.
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An evolutionary trend reversion model for stock trading rule discovery
TL;DR: An Evolutionary Trend Reversion Model (eTrendRev), which is based on the proposed XCS with learn mode (XCSL) and trend-reversion strategy, and back-testing results indicate that eTrendRev can produce higher return with lower risk and recognize significant market turning points in a timely fashion.
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.