Relevant bibliographies by topics / Sharpe ratio

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

Academic literature on the topic 'Sharpe ratio'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 April 2022

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Journal articles on the topic "Sharpe ratio"

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Sharpe, William F. "The Sharpe Ratio." Journal of Portfolio Management 21, no. 1 (October 31, 1994): 49–58. http://dx.doi.org/10.3905/jpm.1994.409501.

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Hung, Mao-Wei, and Yin-Ching Jan. "Sharpe Timing Ratio." Journal of Investing 14, no. 4 (November 30, 2005): 75–79. http://dx.doi.org/10.3905/joi.2005.605285.

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Mukherjee, Debasri, and Aman Ullah. "Nonparametric Sharpe Ratio." Journal of Quantitative Economics 2, no. 2 (July 2004): 172–85. http://dx.doi.org/10.1007/bf03404616.

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Wong, W. K., J. A. Wright, S. C. P. Yam, and S. P. Yung. "A mixed Sharpe ratio." Risk and Decision Analysis 3, no. 1-2 (2012): 37–65. http://dx.doi.org/10.3233/rda-2012-0051.

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Agarwal, Ankush, and Matthew Lorig. "The implied Sharpe ratio." Quantitative Finance 20, no. 6 (February 19, 2020): 1009–26. http://dx.doi.org/10.1080/14697688.2020.1718194.

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Bailey, David, and Marcos López de Prado. "The Sharpe ratio efficient frontier." Journal of Risk 15, no. 2 (December 2012): 3–44. http://dx.doi.org/10.21314/jor.2012.255.

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Baweja, Meena, Ratnesh R. Saxena, and Deepak Sehgal. "Portfolio Optimization Using Conditional Sharpe Ratio." International Letters of Chemistry, Physics and Astronomy 53 (July 2015): 130–36. http://dx.doi.org/10.18052/www.scipress.com/ilcpa.53.130.

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In this paper we propose a portfolio optimization model that selects the portfolio with the largest worse-case-scenario sharpe ratio with a given confidence level. We highlight the relationship between conditional value-atrisk based sharpe ratio and standard deviation based sharpe ratio proposed in literature. By utilizing the results of Rockafellar and Uryasev [5], we evaluate conditional value- at- risk for each portfolio. Our model is expected to enlarge the application area of practical investment problems for which the original sharpe ratio is not suitable, however should device effective computational methods to solve optimal portfolio selection problems with large number of investment opportunities. Here conditional sharpe ratio is defined as the ratio of expected excess return to the expected shortfall. This optimization considers both risk and return, of which changes will effect the sharpe ratio. That is the fitness function for dynamic portfolio is the objective function of the model.
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Israelsen, Craig. "A refinement to the Sharpe ratio and information ratio." Journal of Asset Management 5, no. 6 (April 2005): 423–27. http://dx.doi.org/10.1057/palgrave.jam.2240158.

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Farinelli, Simone, Manuel Ferreira, Damiano Rossello, Markus Thoeny, and Luisa Tibiletti. "Beyond Sharpe ratio: Optimal asset allocation using different performance ratios." Journal of Banking & Finance 32, no. 10 (October 2008): 2057–63. http://dx.doi.org/10.1016/j.jbankfin.2007.12.026.

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Peake, Charles F. "The Symmetric Downside-Risk Sharpe Ratio." CFA Digest 36, no. 2 (May 2006): 83–85. http://dx.doi.org/10.2469/dig.v36.n2.4123.

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Dissertations / Theses on the topic "Sharpe ratio"

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Lorentz, Pär. "A Modified Sharpe Ratio Based Portfolio Optimization." Thesis, KTH, Matematisk statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103275.

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The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected return of an asset in this context. The leverage of the investment is determined by a conditional expectation estimate of the number of portfolio assets of the next-coming day. A moving window is used to historically measure the transition probabilities of moving from one state to another within this stochastic count process and this is used as an input to the estimator. It is found that the most accurate estimate is the actual trading day’s number of portfolio assets and this is obtained when the size of the moving window is one. Increasing the penalty parameter on transaction costs of selling and buying assets between trading days lowers the aggregated transaction cost and increases the performance of the optimal-weighted portfolio considerably. The best portfolio performance is obtained when at least 50% of the capital is invested equally among the assets when maximizing the modified Sharpe ratio. The optimal-weighted and equal-weighted portfolios are constructed on a daily basis, where the allowed VaR0:05 is €300 000 for each portfolio. This sets the limit on the amount of capital allowed to be invested each trading day, and is determined by empirical VaR0:05 simulations of these two portfolios.
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DApuzzo, Daniele. "It Is Better to Be Upside Than Sharpe!" BYU ScholarsArchive, 2017. https://scholarsarchive.byu.edu/etd/6705.

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Based on the assumption that returns in Commercial Real Estate are normally distributed, the Sharpe Ratio has been the standard risk-adjusted performance measure for the past several years. Research has questioned whether this assumption can be reasonably made. The Upside Potential Ratio as a risk-adjusted performance measure is an alternative to measure performance on a risk-adjusted basis but its values differ from the Sharpe Ratio's only in the assumption of skewed returns. We will provide reasonable evidence that CRE returns should not be fitted with a normal distribution and present the Gaussian Mixture Model as our choice of distribution to fit skewness. We will then use a GMM distribution to measure performance of CRE domestic markets via UPR. Additional insights will be presented by introducing an alternative risk-adjusted perfomance measure that we will call D-ratio. We will show how the UPR and the D-ratio can provide a tool-box that can be added to any existing investment strategy when identifying markets' past performance and timing of entrance. The intent of this thesis is not to provide a comprehensive framework for CRE investment decisions but to introduce statistical and mathematical tools that can serve any portfolio manager in augmenting any investment strategy already in place.
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Short, Wesley James, and Jan Oskar Lind. "NOT THE SHARPEST TOOL IN THE BOX : A quantitative study of the reliability of the Sharpe ratio in a Bear market." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-38537.

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Our thesis was conducted through quantitative research on the validity of the Sharpe ratio as a performance measure in bear market conditions. Previous research had identified problems with mismatches in ranking due to Sharpe ratios rewarding unsystematic risk in funds. Alternative Sharpe  ratios have been developed to solve this problem; Scholz (2006) developed the Normalized  Sharpe ratio, which he argued to be a more valid performance measure in bear market conditions. We conducted a comparative analysis between rankings of the Sharpe ratio and Scholz Normalized Sharpe ratio to find out whether the Sharpe ratio provides mismatches in ranking due to rewarding unsystematic risk. The research was conducted on Swedish premium pension funds within the Swedish Pension system. We aimed to highlight the potential problems with interpreting the Sharpe ratio in bear market periods. Various models and theories was utilized to support our research question and attempt to link them to our quantitative analysis. The results from our analysis showed us that there were mismatches between the different ratios, additionally our findings provided support to previous researchers’ conclusions which stated that  the Sharpe ratio rewards unsystematic risk.
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Mweli, Peter Vusi. "Empirical evaluation of South African share analysts’ performance." Diss., University of Pretoria, 2010. http://hdl.handle.net/2263/25261.

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This paper sets out to evaluate whether investment recommendations of South African share analysts provide any value to an investor in the Johannesburg Stock Exchange (JSE). The study focuses on the creation of a portfolio based on the recommendations by analysts between December 2002 and July 2010. The monthly returns and respective risk-adjusted returns of this portfolio are compared to those of the SATRIX Top 40 over the same period of time. The paper also evaluates the effectiveness of the SATRIX Top 40 as a performance benchmark by comparing it to a portfolio for shares of family-controlled or owner-managed companies listed on the JSE. The study utilises analyst consensus recommendations, with focus on buy and sell recommendations, to create a buy and hold portfolio that is compared to the SATRIX Top 40. The SATRIX Top 40 is further compared to ten-share portfolio of family-owned or owner-managed companies. The study finds that analysts’ recommendations lead to higher risk-adjusted returns for an investor when compared to the SATRIX Top 40. The returns are even better in a bear market environment when compared the benchmark SATRIX Top 40. It is also found that a portfolio of shares of family-controlled or owner-managed companies performs better than the SATRIX Top 40 and thus provides a better benchmark for an investor. Copyright
Dissertation (MBA)--University of Pretoria, 2011.
Gordon Institute of Business Science (GIBS)
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Wright, John Alexander. "Enlargement of filtration on Poisson space and some results on the Sharpe ratio." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B47147507.

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Fredriksen, Petter, and Madeleine Lundberg. "Riskjusterad avkastning i nynoteringar på Aktietorget : En jämförelse av Sharpe- och Sortinokvoten." Thesis, Linköpings universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139206.

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Bakgrund: De senaste åren har en stark underprissättningstrend observerats i det ökande antalet börsnoteringar, vilket har skapat ett starkt investerarintresse. En stor del av dessa nyintroducerade bolag är småbolag, varav de flesta noteras på mindre handelsplatsformer, så kallade MTF:er. MTF:en Aktietorget introducerade flest företag till den svenska aktiemarknaden 2010-2014, varför detta har valts till studiens undersökningsområde.Tidigare studier har bevisat att det finns en hög volatilitet i nyintroduktioner och småbolag, vilket i finansiella sammanhang betyder att en sådan investering är mer riskfylld. Dock saknas liknande studier på downside volatilitet, alltså risken för förlust. Denna studie ämnar därför att jämföra den traditionellt riskjusterade avkastningen i form av sharpekvoten, mot avkastningen justerad för downside risk, den så kallade sortinokvoten. Detta nyare mått på risk är en del av den postmoderna portföljteorin, som tar hänsyn till en mer förlustaversiv investerare. Syfte: Syftet med denna uppsats är att analysera den riskjusterade avkastningen i nynoteringar på Aktietorget för att jämföra med etablerade bolag på OMX Stockholm. Den riskjusterade avkastningen beräknas genom sharpe-respektive sortinokvoten och jämförs sedan för att undersöka eventuella skillnader i bedömningen av aktiernas prestation. Genomförande: Uppsatsen är en eventstudie med deduktiv ansats. Undersökningen har inkluderat nynoteringar på Aktietorget mellan 2010-2014 och jämförelseaktier består av branschindex från OMXSPI.Den riskjusterade avkastningen har beräknats via modifierade kvoter. Samband mellan sharpe-respektive sortinokvoten har undersökts genom icke-parametrisk rangordningskorrelation. Slutsats: Studien kan inte bevisa en signifikant abnormal avkastning i nynoteringar på Aktietorget, men observerar en genomsnittlig överavkastning upp till en månad. De riskjusterade kvoterna har mycket stark rangordningskorrelation, vilket innebär att studiens resultat inte kan motivera en fortsatt användning av sortinokvoten.
Background: In recent years, a strong underpricing trend has been observed in the increasing number of IPOs, which has created a strong investor interest. A large part of these IPO companies are small firms, most of which are listed on smaller trading venues, known as MTFs. The MTF Aktietorget introduced most companies to the Swedish stock market during 2010-2014, so it has been chosen as the area for this research.Previous studies have shown that there is high volatility in new introductions and small companies, which in financial terms means that such an investment contains more risk. However, similar studies on downside risk are lacking. This study therefore aims to compare the traditional risk-adjusted return in the form of the sharpe ratio, against the return adjusted for downside risk, the so-called sortino ratio. This newer measure of risk is part of the postmodern portfolio theory, which takes into account a more loss-aversive investor. Purpose: The purpose of this paper is to analyze the risk-adjusted return in IPOs on Aktietorget and compare it with the return of established companies on OMX Stockholm. The risk-adjusted return is calculated by the sharpe and sortino ratios, respectively, and are later compared with each other to investigate possible differences in the estimation of performance for the stocks. Methodology: This paper is an event study with a deductive approach. The study has included IPOs on Aktietorget between 2010-2014 and comparative stocks, consisted of industry index from OMXSPI.The risk-adjusted return has been calculated using modified ratios and the relationship between the sharp and sortino ratios has been investigated by non-parametric ranking correlations. Conclusion: The study can't prove any significant abnormal return in IPOs on Aktietorget, but observes an average excess return of up to one month. The risk-adjusted ratios have very strong rank correlation, thus empirical results can't motivate the continued use of the sortino ratio.
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Santos, Claudinei de Paula. "Análise de medidas de desempenho de ativos de risco: um estudo dos índices de potencial de investimento, Sharpe e Sharpe generalizado." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-03112008-181857/.

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A dissertação aborda e compara as características dos índices de Sharpe (SR) e suas variantes, SRc e SRd, Sharpe generalizado (GSR ) e potencial de investimento (IP), sendo os índices GSR e IP associados a alguma função de utilidade. Pelo fato de o GSR e o IP serem idênticos, testes empíricos foram realizados entre SRc e o GSR. Ambos foram avaliados teoricamente sob dois aspectos, o que definimos de análise retrospectiva, i.e., análise de séries de log-retornos mensais observados, e a análise prospectiva, i.e., séries a ocorrer. No âmbito prospectivo, ex ante facto, o SRc (índice de Sharpe com variável de estado normal) e o SRd (índice de Sharpe com variável de estado lognormal), por estarem associados à função de utilidade quadrática, apresentam distorções como o ponto bliss e o agente econômico bomba de dinheiro. O mesmo ocorre no âmbito retrospectivo, ex post facto, com o GSR (potencial de desempenho de ativos de risco para indivíduos com função de utilidade HARA) quando o coeficiente de aversão ao risco é igual a um negativo, gama=-1. No entanto, o GSR pode ser associado a funções de utilidade diferentes da quadrática evitando seus efeitos indesejáveis. Sob a suposição de movimento browniano geométrico (MBG) e da utilidade HARA para o preço mensal ajustado de ações brasileiras e americanas e para pontos mensais de índices brasileiros e americanos, entre janeiro de 2000 e março de 2008, obtivemos os seguintes resultados: (1) o índice GSR para utilidade quadrática apresentou elevada correlação com o SRc; (2) a menor correlação de GSR com SRc ocorreu para utilidade logarítmica; (3) para a utilidade exponencial, o GSR apresenta elevado grau de correlação com o SRc. Os resultados mostraram que o GSR com utilidade exponencial é o índice que menos se aproxima do comportamento do GSR com utilidade quadrática. Sabendo-se das distorções da utilidade quadrática, a adoção do GSR com gama=1 parece mais adequado para a classificação de ativos de risco.
This master dissertation studies and compares the characteristics of Sharpe ratio and its variants, SRc and SRd, generalized Sharpe ratio (GSR) and investment potential (IP), both GSR and IP associated to any utility function. By the fact that GSR and IP are identical indexes, empiric tests were conducted between SRc and GSR. The indexes were evaluated theoretically under two different aspects: retrospective analysis, i.e., analyze the observed monthly log-returns, and prospective analysis, i.e., series to occur. Under prospective view, ex ante facto, SRc (Sharpe ratio with normal state variable) and SRd (Sharpe ratio with lognormal state variable), for being associated to the quadratic utility function, show the inherent problems to utility functions such as the bliss point and the pump money economic agent. The same happens in a retrospective view, ex post facto, with the GSR (performance potential with HARA utility function family) when the risk aversion coefficient equals minus one, gama=-1. Therefore, the GSR can be associated to different utility functions avoiding the undesirable effects. Under the GBM (geometric Brownian motion) condition and HARA utility function for the Brazilian and American adjusted monthly stock prices and indexes monthly points during January 2000 and March 2008, we reached the following: (1) results indicate that GSR for quadratic utility has high correlation level with SRc; (2) while the logarithmic utility showed lowest correlation level between GSR and SRc; (3) exponential utilities showed a high level of correlation between GSR and SRc. The results showed that GSR with exponential utility kept the biggest behavior difference for the GSR with quadratic utility. Based on the knowing problems of the quadratic utility, GSR with gama=1 seems to be a better index choice for risk assets classification.
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Mejia-Perez, Juan Carlos. "No 'good deal' valuation bounds and their relation to coherent risk measures." Thesis, University of Warwick, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.342510.

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Gaqa, Nandipa. "The Development Role Played by Targeted Development Investments in South Africa and Their Risk-Adjusted Performance Over a 10-Year Period." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32687.

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The study evaluated the development role of targeted development investments in South Africa and their risk adjusted performance over a 10-Year period, that is from 2008 to 2017. Targeted development investments as a subset of socially responsible investments have transformed the way capital is allocated towards development funding needs. In the South African context this study is relevant given it offers a contrast between investments made in the public sector where development impact is a key objective, versus private sector targeted investments that aim to achieve financial returns whilst also driving development impact objectives aligned to sustainable development goals. The role and impact of these investments in the post democratic era is put in the spotlight given the country is dealing with economic, social, and environmental challenges that have necessitated the need to assess the nature and role of the investment industry in solving these complex development challenges (Giampocaro & Pretorius, 2012). The study on the role of the public sector focused on the investments and development impact indicators tracked by the Top 3 public sector investment institutions or corporations. The analysis on the performance of the private sector TDI funds examined their risk adjusted performance using Treynor, Sharpe, Sortino, and Information ratios. The risk adjusted performance was used to test whether the TDI fund returns under or outperformed against five benchmark categories. The research findings showed mixed results where TDI funds either underperformed or outperformed against the benchmark categories. The findings highlighted the need for a hybrid development model where both the public and private sector actively play a role in the development landscape as guided by their respective investment mandates. The findings advocate for corporate and institutional investors to increase capital allocations and investments towards financing development needs given the scope to maximise investor returns, whilst considering socially responsible investing and issues relating to the development and empowerment of previously disadvantaged communities.
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Hagberg, Johanna, and Jonas Magnusson. "Risk i fastighetsbolag : - en kvantitativ studie av kommunala och privata fastighetsbolag." Thesis, Högskolan Kristianstad, Sektionen för hälsa och samhälle, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-11017.

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Jämfört med andra branscher har fastighetsmarknaden låg avkastning på totala tillgångar, de utnyttjar istället en hävstångsstrategi för att skapa mer effektiv utväxling på eget kapital. Det finns många riskvariabler kopplat till fastighetsbranschen och flera sätt att differentiera sig från den osystematiska risken. De kommunala fastighetsbolagen har en finansieringskälla Kommuninvest, som enbart vänder sig till allmännyttiga bolag och inte privata aktörer. Syftet med uppsatsen är att historiskt analysera hur risk och avkastning genererats av kommunala och privata fastighetsbolag. Metoden är kvantitativ, kombinerat med en deduktiv metod och som har en förklarande ansats. Utifrån teori har vi formulerat tre hypoteser för att undersöka om vi kan finna indikatorer på hur kommunala och privata fastighetsbolag skiljer sig till från varandra. För att genomföra undersökningen har uppsatsen utgått från en kvantitativ metod och statistiska test har gjorts för att kunna analysera utfallen. Resultaten indikerar på att det finns en signifikant skillnad mellan kommunala och privata fastighetsbolag i två av hypoteserna. Hur undersökningen är genomförd beskrivs i den empiriska metoden. Från de resultat som blivit har det fastställts att det finns mer att undersöka och nya förslag på fortsatt forskning har utformats.
Compared to other industries, real estate markets have historically low return on total assets, instead they use a leverage strategy to create a more efficient ratio on return on equity. There are many risk variables associated with real estate and several ways for real estate firms to differentiate themselves from the unsystematic risk. The municipal property firms have a funding source Kommuninvest, only turning to public utilities and not private actors. The purpose of this paper is to analyze the historical risk and return generated by municipal and private property firms. The method is quantitative, combined with a deductive theory, which has an explanatory approach. Based on theory we have formulated three hypotheses to explore and see if we can find indicators of how differences between municipal and private property is. To conduct the survey, the thesis has a quantitative method and statistical tests to analyze the outcomes. The results indicate that there is a significant difference in two of the hypotheses between municipal and private property. How the survey is conducted is described in the empirical method. From the results determined, the intention shows that there is more to explore, and new suggestions for further research have been suggested.
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Books on the topic "Sharpe ratio"

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Huang, Derrick C. Managing the spectrum: Win, lose, or share. Cambridge, Mass: Program on Information Resources Policy, Harvard University, Center for Information Policy Research, 1993.

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Huang, Derrick C. Managing the spectrum: Win, lose, or share. Cambridge, Mass: Program on Information Resources Policy, Harvard University, Center for Information Policy Research, 1992.

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Ailawadi, Kusum L. Market share and growth are not good predictors of the A/S ratio. Cambridge, Mass: Marketing Science Institute, 1993.

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Grønhaug, Kjell. Concentration ratios, strategy and performance: The case of the Norwegian telecommunication industry. [Urbana, Ill.]: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1986.

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Grønhaug, Kjell. Concentration ratios, strategy and performance: The case of the Norwegian telecommunication industry. [Urbana, Ill.]: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1986.

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Grønhaug, Kjell. Concentration ratios, strategy and performance: The case of the Norwegian telecommunication industry. [Urbana, Ill.]: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1986.

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Grønhaug, Kjell. Concentration ratios, strategy and performance: The case of the Norwegian telecommunication industry. [Urbana, Ill.]: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1986.

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Haeberly, Jean-Pierre A. On shape optimizing the ratio of the first two eigenvalues of the Laplacian. New York: Courant Institute of Mathematical Sciences, New York University, 1991.

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Meade, Colin. The impact of agency costs and transaction costs on the dividend payout ratios of US and UK public companies. Dublin: University College Dublin, 1996.

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Leibowitz, Martin L. Franchise value and the price/earnings ratio. [Charlottesville, Va.]: Research Foundation of the Institute of Chartered Financial Analysts, 1994.

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Book chapters on the topic "Sharpe ratio"

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Pav, Steven E. "The Sharpe Ratio and the Signal-Noise Ratio." In The Sharpe Ratio, 3–46. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-2.

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Pav, Steven E. "Portfolio Inference for Gaussian Returns." In The Sharpe Ratio, 243–300. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-8.

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Pav, Steven E. "Portfolio Inference for Other Returns." In The Sharpe Ratio, 301–50. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-9.

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Pav, Steven E. "The Sharpe Ratio for Gaussian Returns." In The Sharpe Ratio, 47–100. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-3.

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Pav, Steven E. "Maximizing the Sharpe Ratio." In The Sharpe Ratio, 205–42. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-7.

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Pav, Steven E. "Overoptimism and Overfitting." In The Sharpe Ratio, 351–86. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-10.

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Pav, Steven E. "† Backtesting." In The Sharpe Ratio, 407–18. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-12.

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Pav, Steven E. "Overoptimism." In The Sharpe Ratio, 163–202. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-5.

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Pav, Steven E. "The Sharpe Ratio for Other Returns." In The Sharpe Ratio, 101–62. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-4.

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Pav, Steven E. "Market Timing." In The Sharpe Ratio, 387–406. Boca Raton: Chapman and Hall/CRC, 2021. http://dx.doi.org/10.1201/9781003181057-11.

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Conference papers on the topic "Sharpe ratio"

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Wysocki, Tadeusz, and Abbas Jamalipour. "Sharpe ratio based pricing of Cognitive Radio access." In 2011 IEEE Wireless Communications and Networking Conference (WCNC). IEEE, 2011. http://dx.doi.org/10.1109/wcnc.2011.5779148.

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Bhattacharyya, Rupak. "Possibilistic Sharpe Ratio Based Novice Portfolio Selection Models." In National Conference on Advancement of Computing in Engineering Research. Academy & Industry Research Collaboration Center (AIRCC), 2013. http://dx.doi.org/10.5121/csit.2013.3204.

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Xiaohui Yu and Lei Xu. "Adaptive improved portfolio Sharpe ratio maximization with diversification." In Proceedings of the IEEE-INNS-ENNS International Joint Conference on Neural Networks. IJCNN 2000. Neural Computing: New Challenges and Perspectives for the New Millennium. IEEE, 2000. http://dx.doi.org/10.1109/ijcnn.2000.860816.

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Hao Li. "Using empirical likelihood method to calculate the Sharpe ratio." In 2010 International Conference on Future Information Technology and Management Engineering (FITME). IEEE, 2010. http://dx.doi.org/10.1109/fitme.2010.5655827.

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Zhitlukhin, Mikhail. "A Second-order Monotone Modification of the Sharpe Ratio." In TMU Finance Workshop 2014. WORLD SCIENTIFIC, 2016. http://dx.doi.org/10.1142/9789814730778_0010.

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Yang, Zhou. "Analysis on CAPM and Sharpe Ratio in Market Investment." In 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210319.002.

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Tian, Shuang, Wibowo Hardjawana, and Branka Vucetic. "Sharpe ratio for user association design in downlink heterogeneous cellular networks." In 2014 ICC - 2014 IEEE International Conference on Communication Workshop (ICC). IEEE, 2014. http://dx.doi.org/10.1109/iccw.2014.6881173.

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Zhang, Zezheng, and Matloob Khushi. "GA-MSSR: Genetic Algorithm Maximizing Sharpe and Sterling Ratio Method for RoboTrading." In 2020 International Joint Conference on Neural Networks (IJCNN). IEEE, 2020. http://dx.doi.org/10.1109/ijcnn48605.2020.9206647.

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Apandi, Nur Ilyana Anwar, Shuang Tian, Wibowo Hardjawana, Phee Lep Yeoh, and Branka Vucetic. "Sharpe ratio for joint user association and subcarrier allocation design in downlink heterogeneous cellular networks." In 2017 IEEE 28th Annual International Symposium on Personal, Indoor, and Mobile Radio Communications (PIMRC). IEEE, 2017. http://dx.doi.org/10.1109/pimrc.2017.8292497.

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Chen, Yan-Cun, and Sheng-Dao Gan. "The Applicability of Time-varying Sharpe Ratio to Chinese Stock Market -- Take CSI 300 Index as an Example." In 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018). Paris, France: Atlantis Press, 2018. http://dx.doi.org/10.2991/icmesd-18.2018.154.

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Reports on the topic "Sharpe ratio"

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Nahmer, Thomas. Die Investition in Fine Wine unter Diversifikations- und Kostengesichtspunkten. Sonderforschungsgruppe Institutionenanalyse, 2018. http://dx.doi.org/10.46850/sofia.9783941627710.

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Dieses Papier untersucht die Sinnhaftigkeit von Fine Wine als Alternatives Investment unter besonderer Berücksichtigung der Kosten eines Fine Wine Investments. Ist Fine Wine zur weiteren Diversifizierung und damit zur Verbesserung des Risikio-Return-Profils von global in Aktien und Anleihen investierenden Portfolios geeignet? Die Analyse erfolgt in einem ersten Schritt auf Indexbasis und in einem zweiten Schritt auf Basis von realen Investitions-möglichkeiten. Die Referenzwährungen sind der US-Dollar und der Euro. Für die Indexbetrachtung werden auf der Aktienseite der MSCI-World-Index und für die Anleihen der JPM-World-Government-Bond-Index verwendet. Bei den Daten für die Investition in Fine Wine liegt der Fokus auf dem Liv-ex-50-Index der im Jahre 1999 gegründeten Londoner Weinbörse Liv-ex. Bei der realen Investition werden für die Datenanalyse bei Aktien und Anleihen Indexfonds verwendet. Da es für die Investition in Fine Wine keinen Indexfonds gibt, wird der Liv-ex-50-Index inklusive aller Kosten einer realen Investition berechnet. Es werden verschiedene Portfoliozusammensetzungen verglichen. Zum einen wird ein Portfolio aus 50% Aktien und 50% Anleihen einem Portfolio aus 45% Aktien, 45% Anleihen und 10% Fine Wine gegenübergestellt. Zum an-deren wird ein Portfolio aus 25% Aktien und 75% Anleihen gegen ein Portfolio aus 20% Aktien, 70% Anleihen und 10% Fine Wine gemessen. Als Vergleichsmaßstab werden die annualisierte Rendite, die Standardabweichung sowie das Sharpe-Ratio der jeweiligen Portfolios berechnet. Die Ergebnisse für die genannten Zeiträume sind ernüchternd. Die Beimischung von Fine Wine führt auf Indexebene lediglich zu einer leichten Verbesserung der annualisierten Rendite aber zu einer markanten Erhöhung des Risi-kos. Bei der Betrachtung der realen Investition kommen die hohen Kosten eines Investments in Fine Wine zum Tragen. Die annualisierte Rendite ist im Vergleich zu den Portfolios ohne Beimischung von Fine Wine niedriger bei gleichzeitig höheren Risikowerten. Lediglich bei der Betrachtung auf Indexbasis in Euro kann bei einem Portfolio eine leichte Verbesserung der Sharpe-Ratio verzeichnet werden. Bei der Betrachtung nach Kosten führt in allen Fällen die Beimischung von Fine Wine zu einer Verschlechterung der Sharpe-Ratios.
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Goetzmann, William, Jonathan Ingersoll, Matthew Spiegel, and Ivo Welch. Sharpening Sharpe Ratios. Cambridge, MA: National Bureau of Economic Research, August 2002. http://dx.doi.org/10.3386/w9116.

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Springmann, Alessondra. Host Galaxies of X-Shaped Radio Sources. Office of Scientific and Technical Information (OSTI), September 2006. http://dx.doi.org/10.2172/892607.

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Smetters, Kent, and Xingtan Zhang. A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks. Cambridge, MA: National Bureau of Economic Research, October 2013. http://dx.doi.org/10.3386/w19500.

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Hahm, T. S., and K. H. Burrell. Flow shear induced fluctuation suppression in finite aspect ratio shaped tokamak plasma. Office of Scientific and Technical Information (OSTI), January 1995. http://dx.doi.org/10.2172/10110854.

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Burnham, A. K. Slow Radio-Frequency Processing of Large Oil Shale Volumes to Produce Petroleum-Like Shale Oil. Office of Scientific and Technical Information (OSTI), August 2003. http://dx.doi.org/10.2172/15004663.

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Allen, Luke, Joon Lim, Robert Haehnel, and Ian Dettwiller. Helicopter rotor blade multiple-section optimization with performance. Engineer Research and Development Center (U.S.), June 2021. http://dx.doi.org/10.21079/11681/41031.

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This paper presents advancements in a surrogate-based, rotor blade design optimization framework for improved helicopter performance. The framework builds on previous successes by allowing multiple airfoil sections to designed simultaneously to minimize required rotor power in multiple flight conditions. Rotor power in hover and forward flight, at advance ratio 𝜇 = 0.3, are used as objective functions in a multi-objective genetic algorithm. The framework is constructed using Galaxy Simulation Builder with optimization provided through integration with Dakota. Three independent airfoil sections are morphed using ParFoil and aerodynamic coefficients for the updated airfoil shapes (i.e., lift, drag, moment) are calculated using linear interpolation from a database generated using C81Gen/ARC2D. Final rotor performance is then calculated using RCAS. Several demonstrative optimization case studies were conducted using the UH-60A main rotor. The degrees of freedom for this case are limited to the airfoil camber, camber crest position, thickness, and thickness crest position for each of the sections. The results of the three-segment case study show improvements in rotor power of 4.3% and 0.8% in forward flight and hover, respectively. This configuration also yields greater reductions in rotor power for high advance ratios, e.g., 6.0% reduction at 𝜇 = 0.35, and 8.8% reduction at 𝜇 = 0.4.
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Fernandez, Ruben, Hernando Lugo, and Georfe Dulikravich. Aerodynamic Shape Multi-Objective Optimization for SAE Aero Design Competition Aircraft. Florida International University, October 2021. http://dx.doi.org/10.25148/mmeurs.009778.

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The SAE Regular Class Aero Design Competition requires students to design a radio-controlled aircraft with limits to the aircraft power consumption, take-off distance, and wingspan, while maximizing the amount of payload it can carry. As a result, the aircraft should be designed subject to these simultaneous and contradicting objectives: 1) minimize the aerodynamic drag force, 2) minimize the aerodynamic pitching moment, and 3) maximize the aerodynamic lift force. In this study, we optimized the geometric design variables of a biplane configuration using 3D aerodynamic analysis using the ANSYS Fluent. Coefficients of lift, drag, and pitching moment were determined from the completed 3D CFD simulations. Extracted coefficients were used in modeFRONTIER multi-objective optimization software to find a set of non-dominated (Pareto-optimal or best trade-off) optimized 3D aircraft shapes from which the winner was selected based to the desired plane performance.
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Quak, Evert-jan. The Link Between Demography and Labour Markets in sub-Saharan Africa. Institute of Development Studies (IDS), January 2020. http://dx.doi.org/10.19088/k4d.2021.011.

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This rapid review synthesises the literature from academic, policy, and knowledge institution sources on how demography affects labour markets (e.g. entrants, including youth and women) and labour market outcomes (e.g. capital-per-worker, life-cycle labour supply, human capital investments) in the context of sub-Saharan Africa. One of the key findings is that the fast-growing population in sub-Saharan Africa is likely to affect the ability to get productive jobs and in turn economic growth. This normally happens when workers move from traditional (low productivity agriculture and household businesses) sectors into higher productivity sectors in manufacturing and services. In theory the literature shows that lower dependency ratios (share of the non-working age population) should increase output per capita if labour force participation rates among the working age population remain unchanged. If output per worker stays constant, then a decline in dependency ratio would lead to a rise in income per capita. Macro simulation models for sub-Saharan Africa estimate that capital per worker will remain low due to consistently low savings for at least the next decades, even in the low fertility scenario. Sub-Saharan African countries seem too poor for a quick rise in savings. As such, it is unlikely that a lower dependency ratio will initiate a dramatic increase in labour productivity. The literature notes the gender implications on labour markets. Most women combine unpaid care for children with informal and low productive work in agriculture or family enterprises. Large family sizes reduce their productive labour years significantly, estimated at a reduction of 1.9 years of productive participation per woman for each child, that complicates their move into more productive work (if available). If the transition from high fertility to low fertility is permanent and can be established in a relatively short-term period, there are long-run effects on female labour participation, and the gains in income per capita will be permanent. As such from the literature it is clear that the effect of higher female wages on female labour participation works to a large extent through reductions in fertility.
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Asenath-Smith, Emily, Ross Lieblappen, Susan Taylor, Reed Winter, Terry Melendy, Robert Moser, and Robert Haehnel. Observation of crack arrest in ice by high aspect ratio particles during uniaxial compression. Engineer Research and Development Center (U.S.), February 2022. http://dx.doi.org/10.21079/11681/43145.

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In nature, ice frequently contains dissolved solutes or entrapped particles, which modify the microstructure and mechanical properties of ice. Seeking to understand the effect of particle shape and geometry on the mechanical properties of ice, we performed experiments on ice containing 15 wt% silica spheres or rods. Unique to this work was the use of 3-D microstructural imaging in a -10ºC cold room during compressive loading of the sample. The silica particles were present in the ice microstructure as randomly dispersed aggregates within grains and at grain boundaries. While cracks originated in particle-free regions in both sphere- and rod-containing samples, the propagation of cracks was quite different in each type of sample. Cracks propagated uninhibited through aggregates of spherical particles but were observed to arrest at and propagate around aggregates of rods. These results imply that spherical particles do not inhibit grain boundary sliding or increase viscous drag. On the other hand, silica rods were found to span grains, thereby pinning together the microstructure of ice during loading. These results provide insights into mechanisms that can be leveraged to strengthen ice.
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