Works matching DE "SHARPE ratio"

Results: 567

Financial behavior within the framework of the international financial markets environment and its role in sustainable development.

Published in:: Refereed Journal of Northern Europe Academy for Studies & Research (Denmark), 2025, v. 4, n. 27, p. 27
Publication type:: Article

The Nonlinear Impact of Environmental, Social, Governance on Stock Market Performance Among US Manufacturing and Banking Firms.

Published in:

Journal of Risk & Financial Management, 2025, v. 18, n. 6, p. 293, doi. 10.3390/jrfm18060293

By:

Wang, Yan;
Sonenshine, Ralph

Publication type:

Article

Factors relevance in asset pricing: new evidences in emerging markets from random matrix theory.

Published in:

Economics & Business Letters, 2025, v. 14, n. 2, p. 75, doi. 10.17811/ebl.14.2.2025.75-87

By:

Molero-González, Laura;
Trinidad-Segovia, Juan E.;
Sánchez-Granero, Miguel A.;
García-Medina, Andrés

Publication type:

Article

Multi‐Objective Bayesian Optimization of Deep Reinforcement Learning for Environmental, Social, and Governance (ESG) Financial Portfolio Management.

Published in:

Intelligent Systems in Accounting, Finance & Management, 2025, v. 32, n. 2, p. 1, doi. 10.1002/isaf.70008

By:

Garrido‐Merchán, Eduardo C.;
Mora‐Figueroa, Sol;
Coronado‐Vaca, María

Publication type:

Article

The Loan Fee Anomaly: A Short Seller's Best Ideas.

Published in:

Management Science, 2025, v. 71, n. 7, p. 5529, doi. 10.1287/mnsc.2023.00152

By:

Engelberg, Joseph E.;
Evans, Richard B.;
Leonard, Greg;
Reed, Adam V.;
Ringgenberg, Matthew C.

Publication type:

Article

Consumer Expenditure-Based Portfolio Optimization.

Published in:

International Journal of Financial Studies, 2025, v. 13, n. 2, p. 99, doi. 10.3390/ijfs13020099

By:

Bányai, Attila;
Tatay, Tibor;
Thalmeiner, Gergő;
Pataki, László

Publication type:

Article

A REVIEW ON PERFORMANCE EVALUATION OF MUTUAL FUNDS: A BIBLIOMETRIC ANALYSIS.

Published in:

Journal of Commerce & Accounting Research, 2025, v. 14, n. 3, p. 1, doi. 10.21863/jcar/2025.14.3.001

By:

Mamodiya, Apporva;
Lodha, Shilpa

Publication type:

Article

K-Means Clustering for Portfolio Optimization: Symmetry in Risk–Return Tradeoff, Liquidity, Profitability, and Solvency.

Published in:

Symmetry (20738994), 2025, v. 17, n. 6, p. 847, doi. 10.3390/sym17060847

By:

Boloș, Marcel-Ioan;
Rusu, Ștefan;
Leordeanu, Marius;
Sabău-Popa, Claudia Diana;
Perțicaș, Diana Claudia;
Crișan, Mihai-Ioan

Publication type:

Article

A MORE EFFICIENT CONFIDENCE-INTERVAL ESTIMATOR (CIE) FOR SHARPE-RATIO USING HARMONIC MEAN IN THE USUAL BOOTSTRAP-RESAMPLE CIE AND COMPUTATIONAL INTELLIGENCE.

Published in:

International Journal of Finance, 2013, v. 25, n. 3, p. 7889

By:

Bhatnagar, Chandra Shekhar;
Acharya, Raghunadh M.;
Bulusu, Viswanadham

Publication type:

Article

PERFORMANCE AND ASYMMETRIC CO-MOVEMENTS OF ASIA PACIFIC EQUITY MARKETS WITH U.S. EQUITIES: Recent Evidence.

Published in:

International Journal of Finance, 2011, v. 23, n. 1, p. 6716

By:

Machuga, Susan;
Wahab, Mahmoud

Publication type:

Article

Big Data Algorithmic Trading Systems Based on Investors' Mood.

Published in:

Journal of Behavioral Finance, 2019, v. 20, n. 2, p. 227, doi. 10.1080/15427560.2018.1506786

By:

Gómez Martínez, Raúl;
Prado Román, Miguel;
Plaza Casado, Paola

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

Analyzing the impact of geographical diversification on portfolio performance.

Published in:

Regional Statistics, 2025, v. 15, n. 2, p. 321, doi. 10.15196/RS150206

By:

Bányai, Attila;
Tatay, Tibor;
Thalmeiner, Gergő;
Pataki, László

Publication type:

Article

An Insight into the Computation of Performance Metrics and Ranking of Mutual Funds with Respect to An Indian Small Cap Equity Scheme.

Published in:

Journal of IMS Group, 2023, v. 20, n. 1/2, p. 22

By:

Banerjee, Sayan

Publication type:

Article

A Study of the Identification of Efficient Mutual Funds - A Data Envelopment Analysis Approach.

Published in:

International Journal of Business Analytics & Intelligence (IJBAI), 2020, v. 8, n. 2, p. 23

By:

Walavalkar, Prakash M.;
K., Shivashankar;
Garag, Anilkumar G.

Publication type:

Article

An Evaluation of Large Cap, Mid Cap, and Small Cap Mutual Funds: Return, Risk, and Investor Considerations.

Published in:

International Journal of Banking, Risk & Insurance, 2024, p. 1, doi. 10.21863/ijbri/2024.12.sp.iss.001

By:

Kumar, Sandeep;
Sabharwal, Ankur;
Sakshi

Publication type:

Article

A concave optimization-based approach for sparse portfolio selection.

Published in:

Optimization Methods & Software, 2012, v. 27, n. 6, p. 983, doi. 10.1080/10556788.2011.577773

By:

Di Lorenzo, D.;
Liuzzi, G.;
Rinaldi, F.;
Schoen, F.;
Sciandrone, M.

Publication type:

Article

Interval estimation for the Sharpe Ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations.

Published in:

Statistical Methods & Applications, 2012, v. 21, n. 4, p. 517, doi. 10.1007/s10260-012-0198-z

By:

De Capitani, Lucio

Publication type:

Article

Portfolio selection in euro area with CAPM and Lower Partial Moments models.

Published in:

Portuguese Economic Journal, 2020, v. 19, n. 1, p. 49, doi. 10.1007/s10258-019-00153-4

By:

da Fonseca, José Soares

Publication type:

Article

The Impact of Options on Investment Portfolios in the Short-Run and the Long-Run, with a Focus on Downside Protection and Call Overwriting.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 9, p. 1563, doi. 10.3390/math10091563

By:

Buckle, David

Publication type:

Article

Intelligent Optimization Based Multi-Factor Deep Learning Stock Selection Model and Quantitative Trading Strategy.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 4, p. N.PAG, doi. 10.3390/math10040566

By:

Wang, Jujie;
Zhuang, Zhenzhen;
Feng, Liu

Publication type:

Article

Cryptocurrency Portfolio Selection—A Multicriteria Approach.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 14, p. 1677, doi. 10.3390/math9141677

By:

Aljinović, Zdravka;
Marasović, Branka;
Šestanović, Tea

Publication type:

Article

Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 10, p. 1093, doi. 10.3390/math9101093

By:

Syu, Jia-Hao;
Yeh, Yi-Ren;
Wu, Mu-En;
Ho, Jan-Ming

Publication type:

Article

Can Artificial Neural Networks Predict the Survival Capacity of Mutual Funds? Evidence from Spain.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 6, p. 695, doi. 10.3390/math9060695

By:

Fabregat-Aibar, Laura;
Sorrosal-Forradellas, Maria-Teresa;
Barberà-Mariné, Glòria;
Terceño, Antonio;
Basso, Antonella;
Brotons Martínez, Jose Manuel

Publication type:

Article

Mean-Variance Portfolio Selection with Tracking Error Penalization.

Published in:

Mathematics (2227-7390), 2020, v. 8, n. 11, p. 1915, doi. 10.3390/math8111915

By:

Lefebvre, William;
Loeper, Grégoire;
Pham, Huyên

Publication type:

Article

Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns.

Published in:

Mathematics (2227-7390), 2020, v. 8, n. 9, p. 1627, doi. 10.3390/math8091627

By:

Schneider, Lucas;
Stübinger, Johannes

Publication type:

Article

Sharpe's Ratio for Oriented Fuzzy Discount Factor.

Published in:

Mathematics (2227-7390), 2019, v. 7, n. 3, p. 272, doi. 10.3390/math7030272

By:

Łyczkowska-Hanćkowiak, Anna

Publication type:

Article

Hybrid CNN-BiGRU-AM Model with Anomaly Detection for Nonlinear Stock Price Prediction.

Published in:

Electronics (2079-9292), 2025, v. 14, n. 7, p. 1275, doi. 10.3390/electronics14071275

By:

Luo, Jiacheng;
Cao, Yun;
Xie, Kai;
Wen, Chang;
Ruan, Yunzhe;
Ji, Jinpeng;
He, Jianbiao;
Zhang, Wei

Publication type:

Article

Robust portfolio optimization: a stochastic evaluation of worst-case scenarios.

Published in:

Economic Research-Ekonomska Istrazivanja, 2023, v. 36, n. 3, p. 1, doi. 10.1080/1331677X.2023.2165525

By:

Rotella Junior, Paulo;
Rocha, Luiz Célio Souza;
Peruchi, Rogério Santana;
Aquila, Giancarlo;
Pamplona, Edson de Oliveira;
Janda, Karel;
Pires, Arthur Leandro Guerra

Publication type:

Article

Influences on mutual fund performance: comparing US and Europe using qualitative comparative analysis.

Published in:

Economic Research-Ekonomska Istrazivanja, 2020, v. 33, n. 1, p. 3049, doi. 10.1080/1331677X.2019.1696695

By:

Graham, J. Edward;
Lassala, Carlos;
Ribeiro Navarrete, Belén

Publication type:

Article

Differential risk premiums and the UIP puzzle.

Published in:

Financial Management (Wiley-Blackwell), 2021, v. 50, n. 1, p. 139, doi. 10.1111/fima.12314

By:

Biswas, Rita;
Piccotti, Louis R.;
Schreiber, Ben Z.

Publication type:

Article

Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard‐to‐value fundamentals.

Published in:

Financial Management (Wiley-Blackwell), 2021, v. 50, n. 1, p. 107, doi. 10.1111/fima.12310

By:

Detzel, Andrew;
Liu, Hong;
Strauss, Jack;
Zhou, Guofu;
Zhu, Yingzi

Publication type:

Article

Conditional currency hedging.

Published in:

Financial Management (Wiley-Blackwell), 2020, v. 49, n. 4, p. 897, doi. 10.1111/fima.12287

By:

Bucher, Melk C.

Publication type:

Article

Emeklilik Yatırım Fonlarının Performanslarının Karşılaştırmalı Olarak İncelenmesi: Türkiye Örneği.

Published in:

Journal of Business Research-Turk / Isletme Arastirmalari Dergisi, 2019, v. 11, n. 3, p. 2114, doi. 10.20491/isarder.2019.728

By:

İSKENDEROĞLU, Ömer;
ARSLAN, Seçkin;
ÇELİK, Mehmet Sinan

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

Market Timing and Predictability in FX Markets.

Published in:

Review of Finance, 2023, v. 27, n. 1, p. 223, doi. 10.1093/rof/rfac014

By:

Maurer, Thomas A;
Tô, Thuy-Duong;
Tran, Ngoc-Khanh

Publication type:

Article

What Do Stock Markets Tell Us about Exchange Rates?

Published in:

Review of Finance, 2016, v. 20, n. 3, p. 1045, doi. 10.1093/rof/rfv032

By:

Cenedese, Gino;
Payne, Richard;
Sarno, Lucio;
Valente, Giorgio

Publication type:

Article

Don’t Fight the Fed!*.

Published in:

Review of Finance, 2014, v. 18, n. 2, p. 623, doi. 10.1093/rof/rft005

By:

Maio, Paulo

Publication type:

Article

Seeking a Better Portfolio with Industry Recommendations<sup>*</sup>.

Published in:

Global Economic Review, 2019, v. 48, n. 1, p. 46, doi. 10.1080/1226508X.2018.1553112

By:

Park, Sung Jun;
Kim, Taehyun

Publication type:

Article

Refinements to the Sharpe Ratio – Evidence from Malaysian Equity Funds.

Published in:

Global Economic Review, 2013, v. 42, n. 1, p. 72, doi. 10.1080/1226508X.2013.769818

By:

Low, Soo-Wah;
Chin, Yi-Bing

Publication type:

Article

MACHINE LEARNING FOR CROSS-SECTIONAL RETURN PREDICTABILITY: EVIDENCE FROM GLOBAL STOCK MARKETS.

Published in:

Dogus University Journal / Doğuş Üniversitesi Dergisi, 2025, v. 26, n. 1, p. 315, doi. 10.31671/doujournal.1534375

By:

KURUCAN, Ahmet Salih;
HEPŞEN, Ali

Publication type:

Article

Asymptotic analyses for trend-stationary pairs trading strategy in high-frequency trading.

Published in:

Review of Quantitative Finance & Accounting, 2024, v. 63, n. 4, p. 1391, doi. 10.1007/s11156-024-01293-1

By:

Dai, Tian-Shyr;
Luo, Yi-Jen;
Chang, Hao-Han;
Kao, Chu-Lan;
Wang, Kuan-Lun;
Liu, Liang-Chih

Publication type:

Article

Mutual funds and stock fundamentals.

Published in:

Review of Quantitative Finance & Accounting, 2023, v. 60, n. 4, p. 1329, doi. 10.1007/s11156-023-01131-w

By:

Peng, Qiyuan;
Tice, Sheri;
Zhou, Ling

Publication type:

Article

A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis.

Published in:

Review of Quantitative Finance & Accounting, 2020, v. 54, n. 1, p. 335, doi. 10.1007/s11156-019-00791-x

By:

Cao, Ruanmin;
Horváth, Lajos;
Liu, Zhenya;
Zhao, Yuqian

Publication type:

Article

ODAKLANMA STRATEJİSİ ve ÇEŞİTLENDİRME STRATEJİSİ İZLEYEN FONLARIN PERFORMANSLARININ KARŞILAŞTIRILMASI.

Published in:

Electronic Journal of Social Sciences, 2020, v. 19, n. 76, p. 2012, doi. 10.17755/esosder.716887

By:

ÖZER, Ali;
ÇÖMLEKÇİ, İstemi

Publication type:

Article

Bond Pricing under CIR Process with Threshold Setting.

Published in:

IAENG International Journal of Applied Mathematics, 2024, v. 54, n. 8, p. 1649

By:

Haoyan Zhang;
Lei Tang;
Fu Wang;
Yunli Du

Publication type:

Article