Efectos del MILA en la eficiencia de portafolio de los mercados de acciones colombiano, peruano y chileno.
- Published in:
- Cuadernos de Administración, 2014, v. 30, n. 52, p. 75, doi. 10.25100/cdea.v30i52.32
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- Publication type:
- Article
Works matching DE "SHARPE ratio"
Results: 503
1
2
Description of A New Method for Measuring Directional Risk in Investment Portfolios.
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- Journal of Finance & Investment Analysis, 2024, v. 13, n. 1, p. 1, doi. 10.47260/jfia/1311
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- Article
3
The term structure of Sharpe ratios and arbitragefree asset pricing in continuous time.
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- Probability, Uncertainty & Quantitative Risk, 2021, v. 6, n. 1, p. 23, doi. 10.3934/puqr.2021002
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- Article
4
استخدام نموذجي شارب المنقح ( RSR ) والمعدل ( ASR ) في تقييم اداء المحفظة الاستثمارية لشركة التأمين العراقية /بحث تطبيقي.
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- Accounting & Financial Studies Journal, 2024, v. 19, n. 68, p. 380
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- Article
5
Optimizing Cryptocurrency Portfolios: A Comparative Study of Rebalancing Strategies.
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- Journal of Finance & Banking Review (JFBR), 2024, v. 8, n. 4, p. 1, doi. 10.35609/jfbr.2024.8.4(1)
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6
Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model.
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- Stochastic Models, 2015, v. 31, n. 1, p. 67, doi. 10.1080/15326349.2014.967531
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- Article
7
Regularized Maximum Diversification Investment Strategy †.
- Published in:
- Econometrics (2225-1146), 2021, v. 9, n. 1, p. 1, doi. 10.3390/econometrics9010001
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- Article
8
Ensembles of Text and Time-Series Models for Automatic Generation of Financial Trading Signals from Social Media Content.
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- Journal of Intelligent Systems, 2020, v. 29, n. 1, p. 753, doi. 10.1515/jisys-2017-0567
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- Article
9
Forecasting the equity premium: can machine learning beat the historical average?
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- Quantitative Finance, 2024, v. 24, n. 10, p. 1445, doi. 10.1080/14697688.2024.2409278
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- Article
10
Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS.
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- Quantitative Finance, 2024, v. 24, n. 9, p. 1227, doi. 10.1080/14697688.2024.2372053
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11
GPT's idea of stock factors.
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- Quantitative Finance, 2024, v. 24, n. 9, p. 1301, doi. 10.1080/14697688.2024.2318220
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- Article
12
GDP-linked bonds as a new asset class.
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- Quantitative Finance, 2024, v. 24, n. 8, p. 1177, doi. 10.1080/14697688.2024.2386323
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- Article
13
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies.
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- Quantitative Finance, 2024, v. 24, n. 7, p. 975, doi. 10.1080/14697688.2024.2370311
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- Article
14
Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets.
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- Quantitative Finance, 2024, v. 24, n. 6, p. 779, doi. 10.1080/14697688.2024.2358963
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- Article
15
Bubbles and dependence between international equity markets.
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- Quantitative Finance, 2024, v. 24, n. 1, p. 119, doi. 10.1080/14697688.2023.2278508
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- Article
16
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality.
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- Quantitative Finance, 2023, v. 23, n. 11, p. 1637, doi. 10.1080/14697688.2023.2266448
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- Article
17
Can volatility solve the naive portfolio puzzle?
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- Quantitative Finance, 2023, v. 23, n. 11, p. 1545, doi. 10.1080/14697688.2023.2249996
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- Article
18
The effects of errors in means, variances, and correlations on the mean-variance framework.
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- Quantitative Finance, 2022, v. 22, n. 10, p. 1893, doi. 10.1080/14697688.2022.2083009
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- Article
19
QuantNet: transferring learning across trading strategies.
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- Quantitative Finance, 2022, v. 22, n. 6, p. 1071, doi. 10.1080/14697688.2021.1999487
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- Article
20
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm.
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- Quantitative Finance, 2022, v. 22, n. 2, p. 321, doi. 10.1080/14697688.2021.1939117
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- Article
21
Quantification of risk in classical models of finance.
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- Quantitative Finance, 2022, v. 22, n. 1, p. 31, doi. 10.1080/14697688.2021.1993613
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- Article
22
Pairs trading with general state space models.
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- Quantitative Finance, 2021, v. 21, n. 9, p. 1567, doi. 10.1080/14697688.2021.1890806
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- Article
23
A practical guide to robust portfolio optimization.
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- Quantitative Finance, 2021, v. 21, n. 6, p. 911, doi. 10.1080/14697688.2020.1849780
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- Article
24
Slow-moving capital and stock returns.
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- Quantitative Finance, 2020, v. 20, n. 6, p. 969, doi. 10.1080/14697688.2020.1720276
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- Article
25
Noise fit, estimation error and a Sharpe information criterion.
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- Quantitative Finance, 2020, v. 20, n. 6, p. 1027, doi. 10.1080/14697688.2020.1718746
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- Article
26
The implied Sharpe ratio.
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- Quantitative Finance, 2020, v. 20, n. 6, p. 1009, doi. 10.1080/14697688.2020.1718194
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- Article
27
VIX futures term structure and the expectations hypothesis.
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- Quantitative Finance, 2020, v. 20, n. 4, p. 619, doi. 10.1080/14697688.2019.1684549
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- Article
28
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns.
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- Quantitative Finance, 2019, v. 19, n. 10, p. 1727, doi. 10.1080/14697688.2019.1585562
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- Article
29
Stock performance by utility indifference pricing and the Sharpe ratio.
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- Quantitative Finance, 2019, v. 19, n. 2, p. 327, doi. 10.1080/14697688.2018.1478121
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- Article
30
Detailed study of a moving average trading rule.
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- Quantitative Finance, 2018, v. 18, n. 9, p. 1599, doi. 10.1080/14697688.2017.1417621
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- Article
31
Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk.
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- Quantitative Finance, 2018, v. 18, n. 7, p. 1233, doi. 10.1080/14697688.2017.1414300
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- Article
32
From insurance risk to credit portfolio management: a new approach to pricing CDOs.
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- Quantitative Finance, 2016, v. 16, n. 10, p. 1495, doi. 10.1080/14697688.2015.1136076
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- Article
33
Statistical arbitrage in the Black–Scholes framework.
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- Quantitative Finance, 2015, v. 15, n. 9, p. 1489, doi. 10.1080/14697688.2014.961531
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- Article
34
When all risk-adjusted performance measures are the same: in praise of the Sharpe ratio ‒ a comment.
- Published in:
- Quantitative Finance, 2014, v. 14, n. 5, p. 775, doi. 10.1080/14697688.2013.872284
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- Article
35
Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures.
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- Quantitative Finance, 2013, v. 13, n. 10, p. 1621, doi. 10.1080/14697688.2012.738930
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- Article
36
INWESTOWANIE W LEŚNICTWO JAKO FORMA ALTERNATYWNEGO OSZCZĘDZANIA NA EMERYTURĘ.
- Published in:
- Studies in Law & Economics / Studia Prawno-Ekonomiczne, 2023, v. 127, p. 79, doi. 10.26485/SPE/2023/127/6
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- Article
37
Improving portfolio investment performance with distance‐based portfolio‐combining algorithms.
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- Journal of Financial Research, 2022, v. 45, n. 4, p. 941, doi. 10.1111/jfir.12303
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- Article
38
Differential risk premiums and the UIP puzzle.
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- Financial Management (Wiley-Blackwell), 2021, v. 50, n. 1, p. 139, doi. 10.1111/fima.12314
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- Article
39
Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard‐to‐value fundamentals.
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- Financial Management (Wiley-Blackwell), 2021, v. 50, n. 1, p. 107, doi. 10.1111/fima.12310
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- Article
40
Conditional currency hedging.
- Published in:
- Financial Management (Wiley-Blackwell), 2020, v. 49, n. 4, p. 897, doi. 10.1111/fima.12287
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- Article
41
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
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- Article
42
Value Addition Through Fund of Funds (FoFs): A Comparison Between FoFs and Individual Mutual Funds in India.
- Published in:
- IUP Journal of Management Research, 2018, v. 17, n. 2, p. 7
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- Article
43
Searching for mutual fund winners? the strategy is to outbid both, the benchmark and the peer group.
- Published in:
- Applied Economics, 2024, v. 56, n. 11, p. 1268, doi. 10.1080/00036846.2023.2175778
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- Article
44
Intraday high-frequency pairs trading strategies for energy futures: evidence from China.
- Published in:
- Applied Economics, 2023, v. 55, n. 56, p. 6646, doi. 10.1080/00036846.2022.2161993
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- Article
45
The asset growth effect in a mean-variance analysis.
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- Applied Economics, 2022, v. 54, n. 37, p. 4259, doi. 10.1080/00036846.2022.2030041
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- Article
46
Choosing factors: the international evidence.
- Published in:
- Applied Economics, 2022, v. 54, n. 6, p. 633, doi. 10.1080/00036846.2021.1967865
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- Article
47
Pairs trading of Chinese and international commodities.
- Published in:
- Applied Economics, 2020, v. 52, n. 48, p. 5203, doi. 10.1080/00036846.2020.1761009
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- Article
48
Optimal HARA Investments with Terminal VaR Constraints.
- Published in:
- Advances in Operations Research, 2022, p. 1, doi. 10.1155/2022/6357701
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- Article
49
Pitfalls of Downside Performance Measures with Arbitrary Targets.
- Published in:
- International Review of Finance, 2017, v. 17, n. 4, p. 597, doi. 10.1111/irfi.12137
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- Article
50
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
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- Publication type:
- Article