Double-sided balanced conditional Sharpe ratio

Saeid Tajdini, Mohsen Mehrara and Reza Tehrani

The purpose of this study was to investigate the behavior of various indices of Tehran Stock Exchange firstly in the boom period from 2018-03-21 to 2018-11-02 and secondly in the recession period from 2016-03-20 to 2016-12-20 using double-sided balanced conditional Sharpe ratio. The results of this study showed the best performance for the insurance index with a double-sided balanced conditional Sharpe ratio of 0.123 and later for the metallic minerals index with a measure of 0.1215. Moreover, on the basis of the double-sided balanced conditional Sharpe ratio, the food except for sugar index with a measure of 0.035 showed the worst performance.

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Year of publication:	2019
Authors:	Tajdini, Saeid ; Mehrara, Mohsen ; Tehrani, Reza
Published in:	Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 7.2019, 1, p. 1-17
Subject:	boom \| double-sided balanced conditional Sharpe ratio \| recession \| Konjunktur \| Business cycle \| Portfolio-Management \| Portfolio selection

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/23322039.2019.1630931 [DOI] hdl:10419/245258 [Handle]
Classification:	G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012024034