Relevant bibliographies by topics / Risk-adjusted performance

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Risk-adjusted performance'

Author: Grafiati
Published: 4 June 2021
Last updated: 22 February 2023

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Journal articles on the topic "Risk-adjusted performance"

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Modigliani, Franco, and Leah Modigliani. "Risk-Adjusted Performance." Journal of Portfolio Management 23, no. 2 (January 31, 1997): 45–54. http://dx.doi.org/10.3905/jpm.23.2.45.

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Odutola Omokehinde, Joshua. "Mutual funds behavior and risk-adjusted performance in Nigeria." Investment Management and Financial Innovations 18, no. 3 (September 9, 2021): 277–94. http://dx.doi.org/10.21511/imfi.18(3).2021.24.

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The paper investigates the behavior of mutual funds and their risk-adjusted performance in the financial markets of Nigeria between April 2016 and May 31, 2019, using descriptive statistics, as well as CAPM, Jensen’s alpha, and other risk-adjusted portfolio performance measures such as Sharpe and Treynor ratios, as well as Fama decomposition of return. The descriptive tests revealed that 80.77% of the funds were superior to market returns, while 13.46% were riskier. The market and the fund returns behaved abnormally with asymptotic and leptokurtic characteristics as their skewness and kurtosis varied from the normal requirements. Diagnostically, the normality test by Jacque-Berra showed that the return was not normally distributed at a 1% significance level. The market was more aggressive relative to the funds. The average risk-free rate was 6.75% above the market’s return. The risk-adjusted portfolio returns measured by Sharpe and Treynor ratios showed that 67.31% of the funds underperformed the market compared to 40.38% that outperformed the market using Jensen’s alpha. Fama decomposition of return revealed that the fund managers are risk-averse with 48% superior selection ability and rationally invested over 85% of investors’ funds in schemes with fixed income securities at a given risk-free return that cushioned the negative effects of the systematic and idiosyncratic risks and consequently threw the total returns into positive territories. Overall, the fund managers possessed 52% of inferior selection abilities that only earned 33% of superior risk-adjusted returns and hence, failed to achieve the desired diversification in the relevant period.
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Crouhy, Michel, Stuart Turnbull, and Lee Wakeman. "Measuring risk-adjusted performance." Journal of Risk 2, no. 1 (1999): 5–35. http://dx.doi.org/10.21314/jor.1999.018.

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Lobosco, Angelo. "Style/Risk-Adjusted Performance." Journal of Portfolio Management 25, no. 3 (April 30, 1999): 65–68. http://dx.doi.org/10.3905/jpm.1999.319709.

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Mao, Zhenxing, and Zheng Gu. "Risk-Adjusted STOCK Performance." International Journal of Hospitality & Tourism Administration 8, no. 4 (August 27, 2007): 77–98. http://dx.doi.org/10.1300/j149v08n04_04.

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Ankrim, Ernest M. "Risk-Adjusted Performance Attribution." Financial Analysts Journal 48, no. 2 (March 1992): 75–82. http://dx.doi.org/10.2469/faj.v48.n2.75.

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Živkov, Dejan, Boris Kuzman, and Jonel Subić. "Measuring the risk-adjusted performance of selected soft agricultural commodities." Agricultural Economics (Zemědělská ekonomika) 68, No. 3 (March 17, 2022): 87–96. http://dx.doi.org/10.17221/298/2021-agricecon.

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In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only the level of risk, we found that cocoa had the highest risk of losses, followed by orange juice. Cotton and coffee had the lowest risk of losses. However, according to the return-to-risk output, cotton was the worst asset in which to invest because it had negative average returns. In contradistinction, sugar had a relatively high risk of losses but also the highest average returns, which put it in the first place according to the Sharpe, Sortino and modified Sharpe ratios. Although orange juice had the second-worst downside risk performance, it came in second place according to the return-to-risk ratio because it had relatively high average returns.
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Sortino, Frank A., Gary A. Miller, and Joseph M. Messina. "Short-Term Risk-Adjusted Performance." Journal of Investing 6, no. 2 (May 31, 1997): 19–27. http://dx.doi.org/10.3905/joi.1997.408420.

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Muralidhar, Arun S. "Risk-Adjusted Performance: The Correlation Correction." Financial Analysts Journal 56, no. 5 (September 2000): 63–71. http://dx.doi.org/10.2469/faj.v56.n5.2391.

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Magiera, Frank T. "Reformulating Ankrim's Risk-Adjusted Performance Attribution." CFA Digest 36, no. 1 (February 2006): 77. http://dx.doi.org/10.2469/dig.v36.n1.1835.

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Dissertations / Theses on the topic "Risk-adjusted performance"

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De, Villiers H. O. "Risk-adjusted performance : an overview." Thesis, Stellenbosch : Stellenbosch University, 2005. http://hdl.handle.net/10019.1/50442.

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Thesis (MBA)--Stellenbosch University, 2005.
ENGLISH ABSTRACT: Investors accept that actual investment pertormance differs from anticipated pertormance. The difference between the two is attributed to investment risk. Professional investment managers charge significant fees for active investment management. Investors funding this industry should evaluate the risk-adjusted investment pertormance to determine if it justifies the associated costs. A number of research papers have presented various methods for adjusting investment pertormance for the risk assumed in the generation thereof. This study presents an overview of techniques available for measuring riskadjusted pertormance of listed equity related investments. The classic pertormance measures of Treynor, Sharpe and Jensen are discussed. Alternative ways of quantifying risk offer different methods for risk-adjusting periormance. This leads to the discussion of more modern approaches to risk-adjustment, such as the Sortino ratio and the Omega measure. The lack of risk-adjusted pertormance reporting within the South African investment management industry is highlighted. An overview of guidelines for risk-adjusted pertormance reporting is presented. As such, it is relevant to investment managers, policy makers of the industry and the financial press reporting on investment management. A comparison of risk-adjusted pertormance figures between unitised-, indexand direct equity investment approaches show that a simple direct equity investment strategy outpertorm on risk-adjusted basis for the five year period reviewed.
AFRIKAANSE OPSOMMING: Beleggers aanvaar die feit dat gerealiseerde beleggings opbrengste van verwagte opbrengste verskil. Die verskil word aan beleggings risiko toegeskryf. Professionele beleggingsbestuurders hef aansienlike fooie om beleggings aktief te bestuur. Beleggers wat hierdie industrie befonds behoort die risiko-aangepaste beleggingsprestasie te evalueer ten einde vas te stel of dit die kostes regverdig wat daarmee gepaardgaan. 'n Aantal navorsingsverslae het reeds verskeie metodes voorgestel vir die aanpassing van beleggingsprestasie vir risiko aanvaar tydens die najaag van prestasie. Hierdie studie bied 'n oorsig van beskikbare tegnieke vir die meet van risiko aangepaste prestasie van genoteerde aandeel- en verwante beleggings. Die klassieke metodes van Treynor, Sharpe en Jensen word bespreek. Alternatiewe metodes om risiko te kwantifiseer bied verskillende metodes om prestasie vir risiko aan te pas. Dit lei tot die bespreking van meer moderne benaderings tot risiko aanpassing, soos die Sortino verhouding en die Omega maatstaf. Hierdie studie bring die tekort van risiko aangepaste prestasie verslaggewing in die Suid-Afrikaanse beleggingsbestuur industrie aan die lig. 'n Oorsig van riglyne vir risiko-aangepaste prestasie verslaggewing word gelewer. Die studie is gevolglik relevant vir beleggingsbestuurders, industrie beleidmakers en die finansiele pers wat oor beleggingsbestuur verslag doen. 'n Vergelyking van risiko-aangepaste opbrengs syfers tussen kollektiewe-. indeks- en direkte aandele beleggings benaderings lig uit dat 'n eenvoudige direkte aandele belegging strategie op 'n risiko-aangepaste basis oor die vyf jaar periode ondersoek, uitpresteer het.
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Hamrick, Richard. "Mutual Fund Performance Evaluation: The Modigliani Risk-Adjusted Approach." Honors in the Major Thesis, University of Central Florida, 2004. http://digital.library.ucf.edu/cdm/ref/collection/ETH/id/431.

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This item is only available in print in the UCF Libraries. If this is your Honors Thesis, you can help us make it available online for use by researchers around the world by following the instructions on the distribution consent form at http://library.ucf.edu/Systems/DigitalInitiatives/DigitalCollections/InternetDistributionConsentAgreementForm.pdf You may also contact the project coordinator, Kerri Bottorff, at kerri.bottorff@ucf.edu for more information.
Bachelors
Arts and Sciences
Statistics
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Böhm, Christoph [Verfasser]. "Risk-Adjusted Performance and Bank Governance Structures / Christoph Böhm." Frankfurt : Peter Lang GmbH, Internationaler Verlag der Wissenschaften, 2013. http://d-nb.info/1042471215/34.

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Onorato, Mario. "Essays on credit risk, risk adjusted performance and economic capital in financial institutions." Thesis, City University London, 2005. http://openaccess.city.ac.uk/8452/.

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This dissertation consists of three autonomous essays, discussing the following topics: 1. the pricing of defaultable bonds, loans and plain vanilla credit derivatives, 2. the use of risk-adjusted performance measurement, for optimal portfolio management in the banking, asset management and insurance industries 3. return on economic capital as a measure of value created by the holding of bank assets and the operation of bank business units.
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Lauerbach, Maximilian [Verfasser]. "Investitionssteuerung mit Risk Adjusted Performance Measures im Nicht-Finanzbereich / Maximilian Lauerbach." Frankfurt : Peter Lang GmbH, Internationaler Verlag der Wissenschaften, 2012. http://d-nb.info/1042415447/34.

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Pires, Carla Alexandra Delgado. "Risk management and value creation in banking institutions : analysis to the risk adjusted performance measures." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10692.

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Mestrado em Finanças
As métricas tradicionais, com base nas demonstrações financeiras, foram até à década de 80, a metodologia privilegiada para avaliar a performance bancária, mas estas demonstraram um afastamento significativo entre a realidade contabilística e económica, e como tal, insuficientes para análise à percepção se as intituições estariam ou não a criar valor para os seus accionistas e principalmente denotou-se que não estavam a incluir uma correcta gestão dos diferentes riscos a que as instituições financeiras estão expostas. Emergiram assim, novas métricas de avaliação e gestão da performance baseadas no valor ajustada ao risco, sendo a mais utilizada o Risk Adjusted Return on Capital (RAROC), em contraposição com estes indicadores mais tradicionais. Este trabalho é desenvolvido tendo por base este contexto. São descritas algumas das métricas tradicionais utilizadas, inferindo sobre as suas vantagens e desvantagens. E por fim, é efectuada uma introdução abrangente da métrica RAROC, adicionalmente acrescido de um estudo empiríco prático de implementação do modelo, como qual se pretende-se contribuir com uma possível abordagem de implementação e uma maior compreensão e adopção da medida RAROC. Conclui-se, que com o uso de modelos de avaliação e quantificação das rentabilidades ajustadas ao risco subjacente às operações bancárias, é possível a obtenção de decisões de crédito e alocação de capital mais consistente, eficientes e concretas, porque se evidenciam e corrigem as inconsistências verificadas entre os critérios tradicionais e os critérios que utilizam a componente de risco.
Until the 1980s, traditional metrics based on financial statements have been the primary methodology used to assess banking performance. However, such metrics have shown significant divergence between accounting and economic realities, therefore becoming inadequate to analyze the perception of institutions in terms of value creation for its shareholders and, most importantly, it has become clear that they weren't including a correct management of the several risks to which financial institutions are exposed. New value-based corporate performance assessment metrics have emerged, and risk-adjusted value-based management systems started to be implemented, as opposed to the more traditional indicators. Thus, the so-called RAPM - Risk-Adjusted Performance Measures arose. The dichotomy between accounting indicators and value-based indicators is the focus of this work, whose main objective is the study of the RAROC metric - Risk-Adjusted Return on Capital, to infer about its advantages and disadvantages. We intend to contribute with a possible implementation approach, to have a better understanding of and to adopt the RAROC methodology through a practical experiment which implements this framework. In conclusion, the use of risk-adjusted profitability assessment and measurement frameworks, with such risk being inherent to banking operations, proves to be extremely important, so that we can avert the inconsistencies shown by traditional and risk-based criteria.
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Apostolidou, Ilektra-Georgia, and Georgios Karmiris. "Risk-adjusted Earned Value and Earned Duration Management models for project performance forecasting." Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-18965.

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Project control is essential to ensure that the investment on a project is providing the intended benefits and is valuable to the customers. Previous methods offer project performance monitoring and forecasting tools, but they lack accuracy and the associated techniques omit the project financial risk (any unplanned event that has an impact on schedule and budget); the main factor of project failure. Poor project execution, and particularly failure to control and accurately forecast the project performance, may lead to increased costs, upset customers and eventually loss of market share. These gaps have been filled in this study by the development of novel models that use statistical analysis of the previous project performance, including risk evaluation techniques. The proposed models succeeded in providing remarkably improved forecasts in three project dimensions: duration, cost and resources. The robustness of the models has been verified by testing them on real projects. The results show superiority in terms of accuracy and easy application compared to any existing method, proving that the risk inclusion provides improvement compared to previous studies. The most important features of the models are: risk-based adjustment of the forecasted values, periodic and completion forecasts, statistical processing and holistic approach. The greatest advancements have been made in the cost forecast, for which the risk adjustment inclusion is examined for the first time. The resources (man-hours) forecast is another pioneer element of the proposed models. All the above provide a complete image of the project status and paint the picture of future performance. The models results are fed in a Decision Support System, which highlights the overperforming and underperforming areas of the project. This confirms the proposition that the model results can be used to initiate restorative action. The contribution of this study to the project management field is easy-to-use and accurate models, which include the financial risk and facilitate the project manager’s decisions and actions. Anticipation of the project performance, by considering the risk, can result to significant time and cost savings, crucial for project success.
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Kline, William. "EXECUTIVE PAY: RELATIONSHIPS WITH RISK-ADJUSTED PERFORMANCE, ENTRY MODE CHOICES, AND FIRM CONTROL SYSTEMS." Diss., Temple University Libraries, 2013. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/214759.

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Business Administration/Strategic Management
Ph.D.
This dissertation consists of three papers examining managerial decision theory, executive compensation, and firm performance. The first paper examines the relationship between executive pay and common equity holdings and risk-adjusted performance; the second paper examines the relationship between executive pay and common equity holdings and strategic decisions, specifically entry mode decisions; and, the third paper develops theory related to the relationship between organizational constitution, valuation constitution, and executive compensation.
Temple University--Theses
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Vella, Vincent. "Improving risk-adjusted performance in high-frequency trading : the role of fuzzy logic systems." Thesis, University of Essex, 2017. http://repository.essex.ac.uk/18928/.

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In recent years, algorithmic and high-frequency trading have been the subject of increasing risk concerns. A general theme that we adopt in this thesis is that trading practitioners are predominantly interested in risk-adjusted performance. Likewise, regulators are demanding stricter risk controls. First, we scrutinise conventional AI model design approaches with the aim to increase the risk-adjusted trading performance of the proposed fuzzy logic models. We show that applying risk-return objective functions and accounting for transaction costs improve out-of-sample results. Our experiments identify that neuro-fuzzy models exhibit superior performance stability across multiple risk regimes when compared to popular neural network models identified in AI literature. Moreover, we propose an innovative ensemble model approach which combines multiple risk-adjusted objective functions and dynamically adapts risk-tolerance according to time-varying risk. Next, we extend our findings to the money management aspects of trading algorithms. We introduce an effective fuzzy logic approach which dynamically discriminates across different regions in the trend and volatility space. The model prioritises higher performing regions at an intraday level and adapts capital allocation policies with the objective to maximise global risk-adjusted performance. Finally, we explore trading improvements that can be attained by advancing our type-1 fuzzy logic ideas to higher order fuzzy systems in view of the increased noise (uncertainty) that is inherent in high-frequency data. We propose an innovative approach to design type-2 models with minimal increase in design and computational complexity. As a further step, we identify a relationship between the increased trading performance benefits of the proposed type-2 model and higher levels of trading frequencies. In conclusion, this thesis sets a framework for practitioners, researchers and regulators in the design of fuzzy logic systems for better management of risk in the field of algorithmic and high-frequency trading.
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Johansson, Christoffer, and Petter Lundström. "Finding Value Through Sustainable Performance : A cross-sectional study of the relationship between risk-adjusted return and Environmental, Social and Governance performance on the Indian stock market." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-105684.

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Problem background and discussion: Emerging countries economies are growing substantially; one of these is India which stock market has been one of the best performing in the world in recent years. Analysts are forecasting further development and some claims that India has the most business- and investment-stimulating political leaders in the world. However, stock markets in emerging countries are highly volatile and normally more risky than in developed economies. One approach to emphasise the more common risks in emerging countries are by including Environmental, Social and Governance (ESG) rating into the fundamental investment model. However, there is a conflict of what previous studies suggest regarding ESG investments. Some argues there is a positive relation and others a negative relation between ESG factors and risk- adjusted return. Research question: “Is there a relation between risk-adjusted return and ESG performance at the Indian stock market?” Objective: The objective is to determine if there is a relationship between ESG performance and risk-adjusted return in India. Another objective is to determine if there is a relationship between ESG performance and risk-adjusted return among companies with high Total ESG rating as well as for companies with low Total ESG rating. Theoretical framework: ESG is an established approach to describe sustainability issues, where screening is a process designed to select those companies that meet ESG criteria. A basic description of Capital Asset Pricing Model CAPM, which calculates an asset's expected return, has been used to calculate risk-adjusted return. Efficient Market Hypothesis EMH is the basic theory of market efficiency and is used to explain any non-linear relationship between ESG factors and risk-adjusted returns. Adaptive Market Hypothesis AMH has been taken into account as it deals with financial behaviour. Method: A quantitative study using a deductive approach has been selected to perform this study. The practical approach is a cross sectional study where the relationship in the Indian market has been analysed and significance-tested during 2014. ESG information for 126 companies listed on the Bombay Stock Exchange (BSE) has been purchased from Sustainalytics, a global leader in research for responsible investment. Empirical findings and analysis: The results of the study demonstrate no significant relationship between Total ESG rating and risk-adjusted return during 2014. In the examination of individual categories, Environmental and Social rating does not have a significant association with the risk-adjusted Return. Though, the results display a negative relationship between Governance rating and risk-adjusted return. This relationship is also obtained among companies in with low Total ESG rating but not companies with high ESG rating. Conclusion: Results implies that investors have not been able to use the information of Total ESG performance to obtain a better risk-adjusted return on the Indian stock market in 2014. However, this can be achieved by using Governance rating.
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Books on the topic "Risk-adjusted performance"

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Bacon, Carl R. Practical risk-adjusted performance measurement. Hoboken, N.J: Wiley, 2013.

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Magowan, Lisa. Unit trust: Risk-adjusted performance. (s.l: The Author), 2001.

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Bacon, Carl R. Practical Risk-Adjusted Performance Measurement. Oxford, UK: John Wiley & Sons Ltd, 2012. http://dx.doi.org/10.1002/9781118673621.

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Bohm, Christoph. Risk-adjusted performance and bank governance structures. Frankfurt, Germany: Peter Lang, 2013.

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Groh, Alexander Peter. Measuring the risk-adjusted performance of us buyouts. Cambridge, MA: National Bureau of Economic Research, 2008.

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Value added risk management in financial institutions: Leveraging basel II & risk adjusted performance management. Singapore: Hoboken, NJ, 2004.

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Value at risk and bank capital management: [risk adjusted performances, capital management and capital allocation decision making]. Amsterdam: Elsevier Academic Press, 2007.

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Bacon, Carl R. Practical Risk-Adjusted Performance Measurement. Wiley & Sons, Incorporated, John, 2012.

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Bacon, Carl R. Practical Risk-Adjusted Performance Measurement. Wiley & Sons, Incorporated, John, 2012.

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Practical Risk-Adjusted Performance Measurement. Wiley & Sons, Incorporated, John, 2021.

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Book chapters on the topic "Risk-adjusted performance"

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Koller, Michael. "Risk Adjusted Performance Metrics." In EAA Series, 175–87. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-20721-1_10.

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Anolli, Mario. "Risk-Adjusted Performance Measures." In Retail Credit Risk Management, 134–47. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137006769_7.

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Ang, Clifford S. "Risk-Adjusted Portfolio Performance Measures." In Springer Texts in Business and Economics, 193–208. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-14075-9_6.

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Ang, Clifford S. "Risk-Adjusted Portfolio Performance Measures." In Springer Texts in Business and Economics, 185–95. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-64155-9_6.

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Zeng, Li. "Risk-Adjusted Performance Monitoring in Healthcare Quality Control." In Springer Series in Reliability Engineering, 27–45. London: Springer London, 2015. http://dx.doi.org/10.1007/978-1-4471-6778-5_2.

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Mbairadjim, Alfred M., Jules Sadefo Kamdem, and Michel Terraza. "Hedge Funds Risk-adjusted Performance Evaluation: A Fuzzy Set Theory-Based Approach." In Understanding Investment Funds, 57–71. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137273611_4.

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Polato, Maurizio, and Josanco Floreani. "A New Risk-Adjusted Performance Approach for Measuring the Value of Securities Exchanges." In Bank Stability, Sovereign Debt and Derivatives, 255–82. London: Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137332158_11.

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Gan, Fah F., Wei L. Koh, and Janice J. Ang. "Monitoring Performance of Surgeons Using a New Risk-Adjusted Exponentially Weighted Moving Average Control Chart." In Frontiers in Statistical Quality Control 13, 229–45. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-67856-2_13.

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Setiawan, Budi. "Implementation of SISTRO (Truck Scheduling System) to Enhance Supply Chain Efficiency and Performance to Support Industrial Revolution 4.0 in Petrokimia Gresik." In Proceedings of the 19th International Symposium on Management (INSYMA 2022), 1078–85. Dordrecht: Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-008-4_133.

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AbstractSISTRO, a truck scheduling and management system, was developed to optimize stock fulfillment following the government regulation (Peraturan Menteri Perdagangan/Permendag) and the distribution process of subsidized fertilizer from Gresik Warehouse of PT Petrokimia Gresik (PG) to Buffer Warehouse located in almost every province in Java Island. The volume that must be distributed is around 5.4 million tons of fertilizer/year. During the implementation, a critical problem is the lack of integration and single information about the supply chain and truck loading process. The information includes (1) truck arrival delay, (2) the difference between planning and reality, and (3) the availability of workers. These three pieces of information are out of sync, so they have direct and indirect impacts. The direct impact is the potential for unscheduled open storage (OPS) in Gresik warehouse. At the same time, the indirect impact is the high logistics costs in the form of land transportation cost increases every year and the potential to lose the opportunity/moment to sell goods due to delays in fertilizer distribution. Therefore, a solution is needed by creating an integrated system to accommodate related parties in truck schedule arrivals, stock availability, and labor availability in the loading line warehouse, hereinafter referred to as SISTRO. The SISTRO’s scope of work starts from the distribution of quota allocations for heavy loading that has been adjusted to stock conditions and loading capacity in each warehouse so that the truck vendors can book the loading plan according to the schedule they want, based on the POSTO that has been uploaded on the SISTRO application and partners will get a booking code. The booking code will later be printed as a security pass. The security pass will later be scanned at all SISTRO checkpoints, which is proven can reduce the number of late arrivals for trucks to load appropriately from an average of 1.361 events/month to just 553 events/month. This project impacts several sectors, including reducing the risk of losing chances to sell goods that previously averaged 24,034 tons/month equivalent to Rp. 110 billion/month, a decrease in the OPS quantity (which is currently happening due to oversupply that does not match with quantum distribution). There has been no increase in inland transportation costs for 3 years and monitoring all license numbers and transportation partners so that there is no combined number of registration numbers. In fact, SISTRO can be used by all logistics companies.
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"Risk-Adjusted Performance." In The Collected Papers of Franco Modigliani. The MIT Press, 2005. http://dx.doi.org/10.7551/mitpress/1923.003.0017.

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Conference papers on the topic "Risk-adjusted performance"

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van Weenen, Eva, and Stefan Feuerriegel. "Estimating Risk-Adjusted Hospital Performance." In 2020 IEEE International Conference on Big Data (Big Data). IEEE, 2020. http://dx.doi.org/10.1109/bigdata50022.2020.9378441.

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Grau-Carles, Pilar, and Jorge Sainz. "Different Risk-Adjusted Fund Performance Measures: A Comparison." In 23rd European Conference on Modelling and Simulation. ECMS, 2009. http://dx.doi.org/10.7148/2009-0439-0444.

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Peyper, W., and A. Mellet. "ETF indexation methods: A risk-adjusted performance analysis." In 7th International Conference on Business and Finance. AOSIS, 2015. http://dx.doi.org/10.4102/jbmd.v5i1.13.

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"The risk-adjusted performance of social housing in the Netherlands: 1999-2013." In 21st Annual European Real Estate Society Conference. ERES, 2014. http://dx.doi.org/10.15396/eres2014_42.

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Turner, J., R. Jacques, J. Coster, J. Nicholl, A. Crum, and N. Siriwardena. "80 Development of risk adjusted indicators of ems performance and quality (phoebe programme)." In Meeting abstracts from the second European Emergency Medical Services Congress (EMS2018). British Medical Journal Publishing Group, 2018. http://dx.doi.org/10.1136/bmjopen-2018-ems.80.

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"Real Risk-Adjusted Performance and Capital Structure: Theory and Evidence from Real Estate Investment Trusts." In 20th Annual European Real Estate Society Conference: ERES Conference 2013. ÖKK-Editions, Vienna, 2013. http://dx.doi.org/10.15396/eres2013_324.

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Azarm, Mohamed A., and Richard J. Travis. "Fire Safety in Nuclear Power Plants: A Risk-Informed and Performance-Based Approach." In ASME 1999 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 1999. http://dx.doi.org/10.1115/imece1999-1154.

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Abstract The consideration of risk in regulatory decision-making has long been a part of NRC’s policy and practice. Initially, these considerations were qualitative and were based on risk insights. The early regulations relied on good practices, past insights, and accepted standards. As a result, most NRC regulations were prescriptive and were applied uniformly to all areas within the regulatory scope. Risk technology is changing regulations by prioritizing the areas within regulatory scope based on risk, thereby focusing on the risk-important areas. Performance technology, on the other hand, is changing the regulations by allowing requirements to be adjusted based on the specific performance expected and manifested, rather than a prior prescriptive requirement. Consistent with the objectives of risk-informed and performance-based regulatory requirements, BNL evaluated the feasibility of applying risk- and performance-technologies to modifying NRC’s current regulations on fire protection for nuclear power plants.(1) This feasibility study entailed several case studies (trial applications). This paper describes the results of two of them. Besides the case studies, the paper discusses an overall evaluation of methodologies for fire-risk analysis to support the risk-informed regulation. It identifies some current shortcomings and proposes some near-term solutions.
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"An Analysis of the Performance of Irish Property-Based and Equity-Based Unit-Linked Funds over the Past Decade Using the Techniques of Risk-Adjusted Performance Analysis and Safety-First Selection Criteria." In 2005 European Real Estate Society conference in association with the International Real Estate Society: ERES Conference 2005. ERES, 2005. http://dx.doi.org/10.15396/eres2005_346.

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Yeter, Baran, Yordan Garbatov, and Carlos Guedes Soares. "Analysis of Life Extension Performance Metrics for Offshore Wind Assets." In ASME 2022 41st International Conference on Ocean, Offshore and Arctic Engineering. American Society of Mechanical Engineers, 2022. http://dx.doi.org/10.1115/omae2022-78184.

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Abstract The objective of the present study is to investigate systematically the key metrics to evaluate the life extension performance of offshore wind farm operations. Finding the appropriate performance metric for an operation is essential for a durable, reliable, and profitable offshore wind farm operation. The analyzed key performance metrics are gross profit margin, return on asset, compounded annual rate of return of initial investment and levelized cost of energy. The mean value and standard deviation of each performance metric are calculated within a probabilistic techno-economic assessment framework for a single offshore wind asset, which is later extended to evaluate the whole offshore wind farm by a multi-asset portfolio optimization. The Markowitz modern portfolio theory is applied to estimate the maximum risk-adjusted ratio and Sharpe ratio, for the key performance metrics. Subsequently, the key performance metrics are compared to identify the most suitable metrics at different stages of the life extension. Moreover, the present study investigates the effect of different uncertainty levels associated with the stochastic variables in the techno-economic assessment. Finally, the suitability of performance metrics is analyzed and discussed for different offshore wind farm sizes and related recommendations are given.
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Nakagawa, Kei, Shuhei Noma, and Masaya Abe. "RM-CVaR: Regularized Multiple β-CVaR Portfolio." In Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}. California: International Joint Conferences on Artificial Intelligence Organization, 2020. http://dx.doi.org/10.24963/ijcai.2020/629.

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The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the most fundamental risk measure to be minimized, it has several drawbacks. Conditional Value-at-Risk (CVaR) is a relatively new risk measure that addresses some of the shortcomings of well-known variance-related risk measures, and because of its computational efficiencies, it has gained popularity. CVaR is defined as the expected value of the loss that occurs beyond a certain probability level (β). However, portfolio optimization problems that use CVaR as a risk measure are formulated with a single β and may output significantly different portfolios depending on how the β is selected. We confirm even small changes in β can result in huge changes in the whole portfolio structure. In order to improve this problem, we propose RM-CVaR: Regularized Multiple β-CVaR Portfolio. We perform experiments on well-known benchmarks to evaluate the proposed portfolio. Compared with various portfolios, RM-CVaR demonstrates a superior performance of having both higher risk-adjusted returns and lower maximum drawdown.
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Reports on the topic "Risk-adjusted performance"

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Atılgan, Yiğit. Risk-adjusted performances of world equity indices. Sabancı University, September 2012. http://dx.doi.org/10.5900/su_som_wp.2012.19397.

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Konnyu, Kristin J., Louise M. Thoma, Monika Reddy Bhuma, Wagnan Cao, Gaelen P. Adam, Shivani Mehta, Roy K. Aaron, et al. Prehabilitation and Rehabilitation for Major Joint Replacement. Agency for Healthcare Research and Quality (AHRQ), November 2021. http://dx.doi.org/10.23970/ahrqepccer248.

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Objectives. This systematic review evaluates the rehabilitation interventions for patients who have undergone (or will undergo) total knee arthroplasty (TKA) or total hip arthroplasty (THA) for the treatment of osteoarthritis. We addressed four Key Questions (KQs): comparisons of (1) rehabilitation prior (“prehabilitation”) to TKA versus no prehabilitation, (2) comparative effectiveness of different rehabilitation programs after TKA, (3) prehabilitation prior to THA versus no prehabilitation, (4) comparative effectiveness of different rehabilitation programs after THA. Data sources and review methods. We searched Medline®, PsycINFO®, Embase®, the Cochrane Register of Clinical Trials, CINAHL®, Scopus®, and ClinicalTrials.gov from Jan 1, 2005, to May 3, 2021, to identify randomized controlled trials (RCTs) and adequately adjusted nonrandomized comparative studies (NRCSs). We evaluated clinical outcomes selected with input from a range of stakeholders. We assessed the risk of bias and evaluated the strength of evidence (SoE) using standard methods. Meta-analysis was not feasible, and evidence was synthesized and reported descriptively. The PROSPERO protocol registration number is CRD42020199102. Results. We found 78 RCTs and 5 adjusted NRCSs. Risk of bias was moderate to high for most studies. • KQ 1: Compared with no prehabilitation, prehabilitation prior to TKA may increase strength and reduce length of hospital stay (low SoE) but may lead to comparable results in pain, range of motion (ROM), and activities of daily living (ADL) (low SoE). There was no evidence of an increased risk of harms due to prehabilitation (low SoE). • KQ 2: Various rehabilitation interventions after TKA may lead to comparable improvements in pain, ROM, and ADL (low SoE). Rehabilitation in the acute phase (initiated within 2 weeks of surgery) may lead to increased strength (low SoE) but result in similar strength when delivered in the post-acute phase (low SoE). No studies reported evidence of risk of harms due to rehabilitation delivered in the acute period following TKA. Compared with various controls, post-acute rehabilitation may not increase the risk of harms (low SoE). • KQ 3: For all assessed outcomes, there is insufficient (or no) evidence addressing the comparison between prehabilitation and no prehabilitation prior to THA. • KQ 4: Various rehabilitation interventions after THA may lead to comparable improvements in pain, strength, ADL, and quality of life. There is some evidence of no increased risk of harms due to the intervention (low SoE). • There is insufficient evidence regarding which patients may benefit from (p)rehabilitation for all KQs and insufficient evidence regarding comparisons of different providers and different settings of (p)rehabilitation for all KQs. There is insufficient evidence on costs of (p)rehabilitation and no evidence on cost effectiveness for all KQs. Conclusion. Despite the large number of studies found, the evidence regarding various prehabilitation programs and comparisons of rehabilitation programs for TKA and THA is ultimately sparse. This is a result of the diversity of interventions studied and outcomes reported across studies. As a result, the evidence is largely insufficient or of low SoE. New high-quality research is needed, using standardized intervention terminology and core outcome sets, especially to allow network meta-analyses to explore the impact of intervention attributes on patient-reported, performance-based, and healthcare-utilization outcomes.
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