Tajdini, Saeid; Mehrara, Mohsen; Tehrani, Reza - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-17
-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 …
