Works matching DE "SHARPE ratio"

Results: 547

Diversified Reward-Risk Parity in Portfolio Construction.

Published in:

Studies in Nonlinear Dynamics & Econometrics, 2025, v. 29, n. 2, p. 213, doi. 10.1515/snde-2023-0012

By:

Choi, Jaehyung;
Kim, Hyangju;
Kim, Young Shin

Publication type:

Article

Decomposing the Momentum in the Japanese Stock Market.

Published in:

Asia-Pacific Financial Markets, 2024, v. 31, n. 2, p. 221, doi. 10.1007/s10690-023-09413-y

By:

Iwanaga, Yasuhiro;
Hirose, Takehide;
Yoshida, Tomohiro

Publication type:

Article

Effect of Index Concentration on Index Volatility and Performance.

Published in:

Asia-Pacific Financial Markets, 2023, v. 30, n. 3, p. 559, doi. 10.1007/s10690-022-09389-1

By:

Pandey, Amit;
Sharma, Anil Kumar

Publication type:

Article

A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data.

Published in:

Asia-Pacific Financial Markets, 2022, v. 29, n. 3, p. 507, doi. 10.1007/s10690-022-09358-8

By:

Oya, Sakae

Publication type:

Article

Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan.

Published in:

Asia-Pacific Financial Markets, 2022, v. 29, n. 2, p. 171, doi. 10.1007/s10690-021-09343-7

By:

Hodoshima, Jiro;
Yamawake, Toshiyuki

Publication type:

Article

Stock Performance Evaluation Incorporating High Moments and Disaster Risk: Evidence from Japan.

Published in:

Asia-Pacific Financial Markets, 2020, v. 27, n. 2, p. 155, doi. 10.1007/s10690-019-09287-z

By:

Hodoshima, Jiro;
Misawa, Tetsuya;
Miyahara, Yoshio

Publication type:

Article

Portafolios de inversión mexicanos: sustentable vs tradicional.

Published in:

Revista Uniandes Episteme, 2024, v. 11, n. 4, p. 469, doi. 10.61154/rue.v11i4.3593

By:

Espinoza Palafox, Jacqueline;
Olivares Aguayo, Héctor Alonso

Publication type:

Article

Portfolio Optimization with Artificial Hummingbird Algorithm for Cement Industry.

Published in:

Istanbul Business Research, 2024, v. 53, n. 3, p. 351, doi. 10.26650/ibr.2024.53.1250778

By:

Çimen, Murat Erhan

Publication type:

Article

The Merits of buy and Hold Strategy in International Financial Markets.

Published in:

Journal of Economic & Social Development (1849-6628), 2023, v. 10, n. 2, p. 133

By:

Enow, Samuel Tabot

Publication type:

Article

Investigating the Merits of Support and Resistance Strategy: Evidence From International Financial Markets.

Published in:

Journal of Economic & Social Development (1849-6628), 2023, v. 10, n. 2, p. 75

By:

Enow, Samuel Tabot

Publication type:

Article

Optimizing Cryptocurrency Portfolios: A Comparative Study of Rebalancing Strategies.

Published in:

Journal of Finance & Banking Review (JFBR), 2024, v. 8, n. 4, p. 1, doi. 10.35609/jfbr.2024.8.4(1)

By:

Sornmayura, Sutta;
Sakolvieng, Nichanan;
Numgaroonaroonroj, Kaimook

Publication type:

Article

Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds.

Published in:

Journal of Wealth Management, 2016, v. 19, n. 1, p. 51, doi. 10.3905/jwm.2016.19.1.051

By:

BLACK, KEITH;
SZADO, EDWARD

Publication type:

Article

Long-Run Performance of Penny Stock IPOs.

Published in:

Journal of Wealth Management, 2012, v. 15, n. 1, p. 104, doi. 10.3905/jwm.2012.15.1.104

By:

Konku, Daniel;
Bhargava, Vivek;
Malhotra, D. K.

Publication type:

Article

Navigating market volatility: risk and return insights from Indian mutual funds.

Published in:

Cogent Economics & Finance, 2024, v. 12, n. 1, p. 1, doi. 10.1080/23322039.2024.2431535

By:

Malhotra, Davinder;
Singh, Rahul;
Ramani, L.

Publication type:

Article

Portfolio Optimization at Damascus Securities Exchange: A Fractal Analysis Approach.

Published in:

Cogent Economics & Finance, 2023, v. 11, n. 2, p. 1, doi. 10.1080/23322039.2023.2286755

By:

Dooba, Kinda;
Mouselli, Sulaiman

Publication type:

Article

On the usefulness of dynamically spilled risk: An optimal portfolio allocation based on cross-sector information contagion.

Published in:

Cogent Economics & Finance, 2023, v. 11, n. 2, p. 1, doi. 10.1080/23322039.2023.2243200

By:

Shigemoto, Hideto;
Morimoto, Takayuki

Publication type:

Article

The expected sharpe ratio of efficient portfolios under estimation errors.

Published in:

Cogent Economics & Finance, 2021, v. 9, n. 1, p. 1, doi. 10.1080/23322039.2021.1943910

By:

Benjlijel, Bacem;
Mansali, Hatem

Publication type:

Article

Nonparametric performance hypothesis testing with the information ratio.

Published in:

Cogent Economics & Finance, 2021, v. 9, n. 1, p. 1, doi. 10.1080/23322039.2021.1902031

By:

Aboy, Jacque Bon-Isaac;
Magadia, Joselito

Publication type:

Article

Double-sided balanced conditional Sharpe ratio.

Published in:

Cogent Economics & Finance, 2019, v. 7, n. 1, p. 1, doi. 10.1080/23322039.2019.1630931

By:

Tajdini, Saeid;
Mehrara, Mohsen;
Tehrani, Reza;
McMillan, David

Publication type:

Article

Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model.

Published in:

Stochastic Models, 2015, v. 31, n. 1, p. 67, doi. 10.1080/15326349.2014.967531

By:

Delong, Łukasz;
Pelsser, Antoon

Publication type:

Article

Forecasting returns with machine learning and optimizing global portfolios: evidence from the Korean and U.S. stock markets.

Published in:

Financial Innovation, 2024, v. 10, n. 1, p. 1, doi. 10.1186/s40854-024-00648-w

By:

Chun, Dohyun;
Kang, Jongho;
Kim, Jihun

Publication type:

Article

Regularized Maximum Diversification Investment Strategy †.

Published in:

Econometrics (2225-1146), 2021, v. 9, n. 1, p. 1, doi. 10.3390/econometrics9010001

By:

Koné, N'Golo

Publication type:

Article

Direct local linear estimation for Sharpe ratio function.

Published in:

Canadian Journal of Statistics, 2022, v. 50, n. 1, p. 36, doi. 10.1002/cjs.11658

By:

Lin, Hongmei;
Tong, Tiejun;
Wang, Yuedong;
Xu, Wenchao;
Zhang, Riquan

Publication type:

Article

Ensembles of Text and Time-Series Models for Automatic Generation of Financial Trading Signals from Social Media Content.

Published in:

Journal of Intelligent Systems, 2020, v. 29, n. 1, p. 753, doi. 10.1515/jisys-2017-0567

By:

Bari, Omar A.;
Agah, Arvin

Publication type:

Article

RELAÇÃO ENTRE CAPACITAÇÃO PROFISSIONAL DO GESTOR E DESEMPENHO DE FUNDOS DE INVESTIMENTO EM AÇÕES.

Published in:

Revista Evidenciação Contábil & Finanças, 2023, v. 11, n. 1, p. 102, doi. 10.22478/ufpb.2318-1001.2023v11n1.62437

By:

da Silva, Sabrina Espinele;
Iquiapaza Coaguila, Robert Aldo;
Lopes Pereira, Marcos Vinicius;
da Silva Roma, Carolina Magda

Publication type:

Article

ANÁLISE DE INVESTIMENTOS BASEADOS EM PROVENTOS DE AÇÕES DE BANCOS BRASILEIROS E EFEITOS DO CORONAVÍRUS.

Published in:

Revista Evidenciação Contábil & Finanças, 2021, v. 9, n. 2, p. 43, doi. 10.22478/ufpb.2318-1001.2021v9n2.51930

By:

Santiago Nina, Alex

Publication type:

Article

DEVELOPMENT OF RECURRENT NEURAL NETWORKS FOR PRICE FORECASTING AT CRYPTOCURRENCY EXCHANGES.

Published in:

Eastern-European Journal of Enterprise Technologies, 2023, v. 125, n. 4, p. 43, doi. 10.15587/1729-4061.2023.287094

By:

Tyshchenko, Victoria;
Achkasova, Svitlana;
Naidenko, Oleksii;
Kanyhin, Serhii;
Karpova, Vlada

Publication type:

Article

Multi-level deep Q-networks for Bitcoin trading strategies.

Published in:

Scientific Reports, 2024, v. 14, n. 1, p. 1, doi. 10.1038/s41598-024-51408-w

By:

Otabek, Sattarov;
Choi, Jaeyoung

Publication type:

Article

A Comparison of Markowitz and Sharpe's Model of Portfolio Analysis.

Published in:

Wealth: International Journal of Money, Banking & Finance, 2017, v. 6, n. 1, p. 18

By:

Sinha, Ritika;
Tripathi, Prabhat Kumar

Publication type:

Article

Does Bitcoin Add Any Value To The Investment Portfolios In Emerging Markets? A Case From Tehran Stock Exchange.

Published in:

Annals of Financial Economics, 2024, v. 19, n. 3, p. 1, doi. 10.1142/S201049522450012X

By:

Dastkhan, Hossein;
Saber, Hossein

Publication type:

Article

MULTI-ASSET PORTFOLIO OPTIMIZATION WITH STOCHASTIC SHARPE RATIO UNDER DRAWDOWN CONSTRAINT.

Published in:

Annals of Financial Economics, 2020, v. 15, n. 1, p. N.PAG, doi. 10.1142/S2010495220800019

By:

BISWAS, SUBHOJIT;
JAWAID, SAIF;
MUKHERJEE, DIGANTA

Publication type:

Article

A bi‐level programming framework for identifying optimal parameters in portfolio selection.

Published in:

International Transactions in Operational Research, 2022, v. 29, n. 1, p. 87, doi. 10.1111/itor.12856

By:

Jing, Kui;
Xu, Fengmin;
Li, Xuepeng

Publication type:

Article

Robust reward–risk ratio portfolio optimization.

Published in:

International Transactions in Operational Research, 2021, v. 28, n. 4, p. 2169, doi. 10.1111/itor.12652

By:

Sehgal, Ruchika;
Mehra, Aparna

Publication type:

Article

Portfolio management with higher moments: the cardinality impact.

Published in:

International Transactions in Operational Research, 2019, v. 26, n. 6, p. 2531, doi. 10.1111/itor.12404

By:

Brito, Rui Pedro;
Sebastião, Hélder;
Godinho, Pedro

Publication type:

Article

The Active Versus Passive Investing Debate: Evidence From the 2018-2023 Market Cycle.

Published in:

Journal of Accounting & Finance (2158-3625), 2024, v. 24, n. 4, p. 35, doi. 10.33423/jaf.v24i4.7176

By:

Prondzinski, Dale;
Miller, Mitchell

Publication type:

Article

Sortino(γ): A Modified Sortino Ratio With Adjusted Threshold.

Published in:

Journal of Accounting & Finance (2158-3625), 2023, v. 23, n. 6, p. 13

By:

Kroll, Yoram;
Marchioni, Andrea;
Ben-Horin, Moshe

Publication type:

Article

Equal Weighted Indices Versus Market Capitalization Weighted Indices: Which Index Provided the Best Risk Adjusted Returns, the S&P 500 Equal Weighted or the S&P 500 Capitalization Weighted Index.

Published in:

Journal of Accounting & Finance (2158-3625), 2022, v. 22, n. 1, p. 133, doi. 10.33423/jaf.v22i1.5051

By:

Miller, Mitchell;
Prondzinski, Dale

Publication type:

Article

The Application of the Further Enhanced Permanent Portfolio in the Long Term Investment and Retirement Scheme.

Published in:

Journal of Accounting & Finance (2158-3625), 2019, v. 19, n. 6, p. 119, doi. 10.33423/jaf.v19i6.2318

By:

Chi-Keung Li, Kevin;
Man-Hung Wong, Tommy;
Wai-Ho Leung, Bob

Publication type:

Article

Comparative Analysis of Risk, Return and Diversification of Mutual Fund.

Published in:

Journal of Economics & Business Research, 2015, v. 21, n. 1, p. 69

By:

Ahmad, Rais;
Nomani, Abuzar

Publication type:

Article

ALGORITHMIC TRADING SYSTEM ON NASDAQ TWEETS.

Published in:

Review of General Management, 2019, v. 29, n. 1, p. 11

By:

Gómez-Martínez, Raúl;
Prado-Román, Camilo;
de la Cruz, María del Carmen de la Orden

Publication type:

Article

Uso da técnica DEA-Sharpe na análise do comportamento de carteiras de investimento.

Published in:

Exacta, 2019, v. 17, n. 3, p. 158, doi. 10.5585/ExactaEP.v17n3.8537

By:

Andrade Longaray, André;
Fabras Sá, Alisson;
dos Santos Machado, Catia Maria;
Roberto Munhoz, Paulo;
Gonçalves Tondolo, Vilmar

Publication type:

Article

CARTEIRAS FORMADAS POR MEIO DE VARIÁVEIS FUNDAMENTALISTAS APRESENTAM BOM DESEMPENHO DE MERCADO?

Published in:

Gestão e Regionalidade, 2015, v. 31, n. 91, p. 87, doi. 10.13037/gr.vol31n91.2610

By:

Guimarães Júnior, Francisco Roberto Farias;
De Montreuil Carmona, Charles Ulises;
De Almeida Guimarães, Luciana Gondim

Publication type:

Article

Performance Evaluation of Exchange Traded Funds of India.

Published in:

IUP Journal of Applied Finance, 2021, v. 27, n. 2, p. 65

By:

Richu;
Mittal, Suresh K.

Publication type:

Article

Carbon price prediction based on a scaled PCA approach.

Published in:

PLoS ONE, 2024, v. 19, n. 1, p. 1, doi. 10.1371/journal.pone.0296105

By:

Wei, Xiaolu;
Ouyang, Hongbing

Publication type:

Article

A Comparison of New Factor Models: Evidence From Turkey.

Published in:

Ege Academic Review, 2020, v. 20, n. 3, p. 193, doi. 10.21121/eab.795963

By:

ÖZKAN, Nesrin

Publication type:

Article

Statistical arbitrage: factor investing approach.

Published in:

OR Spectrum, 2023, v. 45, n. 4, p. 1295, doi. 10.1007/s00291-023-00733-z

By:

Akyildirim, Erdinc;
Goncu, Ahmet;
Hekimoglu, Alper;
Nguyen, Duc Khuong;
Sensoy, Ahmet

Publication type:

Article

Efficient optimization of the reward-risk ratio with polyhedral risk measures.

Published in:

Mathematical Methods of Operations Research, 2017, v. 86, n. 3, p. 625, doi. 10.1007/s00186-017-0613-1

By:

Ogryczak, Wlodzimierz;
Przyłuski, Michał;
Śliwiński, Tomasz

Publication type:

Article

Do Preferred REITs Have Portfolio Enhancement Attributes? An Empirical Investigation.

Published in:

Journal of Real Estate Finance & Economics, 2023, v. 67, n. 4, p. 656, doi. 10.1007/s11146-021-09873-x

By:

Anderson, Randy I.;
Guirguis, Hany;
Loviscek, Anthony L

Publication type:

Article

Asset Pricing When Traders Sell Extreme Winners and Losers.

Published in:

Review of Financial Studies, 2016, v. 29, n. 3, p. 823, doi. 10.1093/rfs/hhv060

By:

An, Li

Publication type:

Article

Wage Rigidity: A Quantitative Solution to Several Asset Pricing Puzzles.

Published in:

Review of Financial Studies, 2016, v. 29, n. 1, p. 148, doi. 10.1093/rfs/hhv041

By:

Favilukis, Jack;
Xiaoji Lin

Publication type:

Article