Search Results - subject:"Conditional Sharpe ratio"

Double-sided balanced conditional Sharpe ratio

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 …

Persistent link: https://www.econbiz.de/10012657549

Double-sided balanced conditional Sharpe ratio

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

Persistent link: https://www.econbiz.de/10012024034

Conditional Sharpe Ratios

Chow, Victor; Lai, Christine W. - In: Finance Research Letters 12 (2015) C, pp. 117-133

Facing investment choices, investors may care more about potentially excess losses in a downtrend market than excess gains in an upside market. Conditional Sharpe ratios (CSR) are statistical ordinates of conditional stochastic dominance (CSD) that measure lower partial risk-adjusted excess...

Persistent link: https://www.econbiz.de/10011191201

Conditional Sharpe ratios

Chow, Victor K.; Lai, Christine W. - In: Finance research letters 12 (2015), pp. 117-133

Persistent link: https://www.econbiz.de/10011552289