Search Results - subject_exact:"Sharpe ratio"

The Belle-Epoque of portfolios? : how returns, risk, and diversification correlated with the wealth distribution in Paris in 1912

Pastore, Thomas - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015453167

Double-edged sword of diversification : commodities and African equity indices in robust vs. optimal portfolio strategies

Kitenge, Anaclet K.; Muteba Mwamba, John; Mba, Jules C. - 2026

This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framework, we compare the performance of three...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640563

Mutual fund selection when borrowing is restricted : on the virtues of the generalized geometric mean

Levy, Moshe - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647127

A hybrid genetic algorithm with learning-to-rank-to-optimization for US equity portfolio construction

Kottas, Ferdinantos - 2026

This study develops and evaluates an equity selection pipeline that converts quarterly fundamentals into a monthly frequency, constructs profitability, leverage, liquidity, and growth characteristics, and learns a linear ranking model via a genetic algorithm (GA). The GA is trained to maximize...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652184

Portfolio return optimization under an endogenous investment set : evidence from P2P lending

Park, Jaesung James; Moon, Jonghyun; Yu, HyeIn; Lee, Hyomin - 2026

We develop a Sharpe ratio-maximizing decision framework for environments in which binary approval rules endogenously determine the investable set. In conventional portfolio theory, investors optimize weights within an exogenously given asset universe; in credit screening, however, the approval...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670040

Spatiotemporal return decomposition and multi-strategy performance analysis in Dow Jones Industrial Average constituents : a 20-year empirical investigation

Pattnaik, Sarthak; Jain, Chhayank; Pinsky, Eugene - 2026

This paper presents a comprehensive spatiotemporal decomposition of equity returns for nine top-weighted constituents of the Dow Jones Industrial Average (DJIA) over a twenty-year period spanning January 2004 through December 2023, encompassing 5033 trading days and multiple market regimes,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061230

AlphaPortfolio : Goal-Oriented Investment Management Through Deep Reinforcement Learning

Cong, Lin William; Tang, Ke; Wang, Jingyuan - 2026

We adapt attention-based neural networks and reinforcement learning to direct portfolio construction, allowing broader portfolio-management objectives (including non-time-additively separable ones) and in a data-driven way, searching over a much richer policy/strategy space than low-dimensional...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653961

The performance of ESG portfolios : evidence from the Chinese market under COVID-19

Wang, Shaolin; Cheng, Ho Cheung; Wang, Jianli; Yick, Ho Yin - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015193393

Portfolio selection under systemic risk

Lin, Weidong; Olmo, Jose; Taamouti, Abderrahim - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471208

Is it just green? : Asymmetry behavior of returns in green investments

Ur Rehman, Mobeen; Nautiyal, Neeraj; Vo Xuan Vinh - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015455638

Consumer expenditure-based portfolio optimization

Bányai, Attila; Tatay, Tibor; Thalmeiner, Gergő; … - 2025

This study examines whether portfolio optimization can be effectively based on annual changes in the harmonized index of consumer prices (HICP) data. Specifically, we assess whether asset allocation based on consumer expenditure can generate superior returns compared to static or equal-weighted...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434042

Is VIX a contrarian indicator? : on the positivity of the conditional sharpe ratio

Ronn, Ehud I.; Xu, Liying - 2025

The notion of compensation for systematic risk is well ingrained in finance and constitutes the basis for numerous empirical tests. The concept an increase in systematic risk is accompanied by an increase in the required risk premium has strong intuitive content: The more risk there is to be...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437113

Hospitality in crisis : evaluating the downside risks and market sensitivity of Hospitality REITs

Malhotra, Davinder Kumar; Poteau, Raymond - 2025

This study evaluates the risk-adjusted performance of Hospitality REITs using multi-factor asset pricing models and downside risk measures with the aim of assessing their diversification potential and crisis sensitivity. Unlike prior studies that examine REITs in aggregate, this study isolates...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015457725

Generative AI for European asset pricing : alleviating the momentum anomaly

Mattusch, Matthias - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015445579

An automated adaptive trading system for enhanced performance of emerging market portfolios

Tudor, Cristiana Doina; Sova, Robert - 2025

One of the most notable developments in the asset management industry in recent decades has been the growth of algorithmic trading. At the same time, significant structural changes in the industry have occurred, with passive investing gaining momentum. The intersection of these two major trends...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015557961

Loss functions in regression models : impact on profits and risk in day-ahead electricity trading

Serafin, Tomasz; Weron, Rafał - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015606675

Effectiveness of the ESG approach in portfolio selection : an empirical evidence from the US stock market

Șerban, Radu-Alexandru; Mihaiu Cindea, Diana Marieta; … - 2025

The purpose of this study is to explore whether ESG (Environmental, Social, and Governance) criteria can serve as a valuable tool for investors when making rational decisions about financial security selection and portfolio construction. By applying Modern and Post-Modern portfolio theories (MPT...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015481271

ESG ratings and investment returns at the country level : does higher mean better?

Asteriou, Dimitrios; Pilbeam, Keith; Litsios, Ioannis; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015482710

Tenant Business Characteristics and Commercial Real Estate Portfolio Fundamental Performance

Dong, Zhi; Li, Ningkun - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015840582

The bias of IID resampled backtests for rolling window mean-variance portfolios

Paskaramoorthy, Andrew; van Zyl, Terence; Gebbie, Tim - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015853566

Unpriced Risks : Rethinking Cross-Sectional Asset Pricing

Chernov, Mikhail; Dahlquist, Magnus; Lochstoer, Lars A. - 2025

Characteristic-based factors embed large unpriced components that depress Sharpe ratios and deviate from the mean-variance efficient (MVE) frontier. We discuss how to decompose tradable factor returns into priced (MVE) and unpriced components, showing that hedging unpriced variation realigns...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438234

Does Social Pension Insurance Increase the Efficiency of Household Financial Portfolios?

Liu, Xueying; Zhao, Zhong - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015210910

Navigating market volatility: risk and return insights from Indian mutual funds

Malhotra, Davinder; Singh, Rahul; Ramani, L. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015426018

Financial portfolio performance of Belgian households: A nonparametric assessment

Cherchye, Laurens; de Rock, Bram; Saelens, Dieter - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014550305

Portfolio optimisation using alternative risk measures

Lorimer, Douglas Austen; Van Schalkwyk, Cornelis Hendrik; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015061498

Some results on bivariate squared maximum sharpe ratio

Mousavi, Samane Al-sadat; Dolati, Ali; Dastbaravarde, Ali - 2024

The Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets. Before constructing a portfolio, selecting a set of investment opportunities is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014636835

Nonparametric analysis of financial portfolio performance

Cherchye, Laurens; Rock, Bram de; Saelens, Dieter - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014553089

Financial portfolio performance of Belgian households : a nonparametric assessment

Cherchye, Laurens; Rock, Bram de; Saelens, Dieter - 2024

We analyze the financial portfolio performance of Belgian households, using data from the 2010, 2014 and 2017 waves of the Household Finance and Consumption Survey survey. We document the characteristics of households that participate in risky asset markets, and we examine which households...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014520151

A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures

Kaucic, Massimiliano; Piccotto, Filippo; Sbaiz, Gabriele - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014442612

Does social pension insurance increase the efficiency of household financial portfolios?

Liu, Xueying; Zhao, Zhong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015423514

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Does social pension insurance increase the efficiency of household financial portfolios?

Liu, Xueying; Zhao, Zhong - 2024

Book / Working Paper

Should expected or most likely returns be the focus in investment decisions? : introducing "most likely" versions of Sharpe and Sortino ratios

Anderson, Gordon; Linton, Oliver - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015159261

Does ESG investing pay-off? : an analysis of the Eurozone area before and during the Covid-19 pandemic

Asteriou, Dimitrios; Pilbeam, Keith; Pouliot, William - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015337709

Navigating market volatility : risk and return insights from Indian mutual funds

Malhotra, Davinder Kumar; Singh, Rahul; Ramani, L. - 2024

This study evaluates Indian mutual funds using a variety of criteria, demonstrating a historical tendency of lower monthly returns and volatility when compared to benchmark indexes. This positive risk profile implies that it will appeal to investors who want stability. Despite COVID-19-induced...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015192483

Holding period effects in dividend strip returns

Golez, Benjamin; Jackwerth, Jens Carsten - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359475

Challenging KPIs in asset management

Baki, Natalie - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626956

Can conditioning information add value to portfolio choice? An out-of-sample analysis

Li, Qiqian; Zhou, Ti - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016076832

A coefficient of variation for ordered categorical data : analyzing relative health inequality and ageing in the UK and relative human resource inequality and gender in Canada

Anderson, Gordon - 2023

The burgeoning use of ordinal data throughout the Empirical Sciences calls for location and variation measurement instruments suitable for such data environments. Neither Pearson’s Coefficient of Variation nor the Sharpe Ratio, relative variation comparison workhorses in cardinal worlds, are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014487320

Show one more version 1

A coefficient of variation for ordered categorical data: Analyzing relative health inequality and ageing in the UK and relative human resource inequality and gender in Canada

Anderson, Gordon - 2023

Book / Working Paper

Management of the pension fund in Korea: Sharpe ratio as a measurement

Cheong, Mun-Kyung; Kim, Yong-Hyeon; Kim, Kyoung-Ha - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015098752

Assessing energy mutual funds : performance, risks, and managerial skills

Malhotra, Davinder Kumar; Nippani, Srinivas - 2023

This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector's cyclical nature,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014502364

An integrated CRITIC and Grey Relational Analysis approach for investment portfolio selection

Silva, Natan Felipe; Santos, Marcos dos; Gomes, Carlos … - 2023

The selection of investment portfolios is a complex problem, encompassing multiple and conflicting criteria. We propose an integrated multi-criteria decision-making (MCDM) model composed of the Criteria Importance Through Intercriteria Correlation (CRITIC) method and Grey Relational Analysis...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014517043

Bounded strategies for maximizing the sharpe ratio

Ye, Jiang; Wang, Yiwei; Raza, Muhammad Wajid - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014305921

A coefficient of variation for multivariate ordered categorical outcomes

Anderson, Gordon - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014337910

Pairs trading based on Empirical Mode Decomposition (EMD)

Zarintaj, Bahareh; Aghasi, Saeed; Baktash, Forozan - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014429061

Management of the pension fund in Korea : sharpe ratio as a measurement

Cheong, Mun-Kyung; Kim, Yong-Hyeon; Kim, Kyoung-Ha - 2023

Purpose: This study criticizes the existing benchmarks of the national equity fund specified by the National Pension Service and proposes alternative benchmarks. Design/methodology/approach: First, this study investigates whether the existing benchmarks returns are affected by the value and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014443276