Search for essays about: "Sharpe ratio"

Showing result 1 - 5 of 14 essays containing the words Sharpe ratio.

  2. 1. The Performance of Technical Analysis : A case study in Chinese domestic A share

    University essay from Umeå universitet/Handelshögskolan vid Umeå universitet; Umeå universitet/Handelshögskolan vid Umeå universitet

    Author : Haoming Geng; Cheng Wang; [2010]
    Keywords : Technical analysis; Chinese stock market; Moving average; Trading range breakout; Sharpe ratio; mean return;

    Abstract : In this thesis, we conduct a case study by applying simple technical trading rules on Chinese stock market. The technical trading rules we tested are moving average rules and trading range breakout rules. The stock indices we tested are SSE A (Shanghai A) and SZSE (Shenzhen A) share, these shares are limited to the Chinese domestic traders. READ MORE

  4. 2. Portfolio Optimization -The Mean-Variance and CVaR approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sixten Fagerström; Gustav Oddshammar; [2010]
    Keywords : CVaR; Mean-Variance; Portfolio Optimization; Volatility risk; Sharpe-ratio; Business and Economics;

    Abstract : The recent economic turmoil has increased volatility on the Swedish stock market and made investors more exposed to risk in an uncertain environment. This research will investigate if the quantitative portfolio optimization models Mean-Variance and CVaR can produce risk-adjusted returns for investors acting in the Swedish stock market. READ MORE

  5. 3. Mean-Earnings-Variance based Portfolio Selection

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Loukas Papantonopoulos; [2010]
    Keywords : portfolio theory; earnings; Mean - Variance; Estimation Problem; Portfolio Frontier; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : The objective of the thesis is to provide a portfolio selection methodology which will take into account the earnings of the companies whose shares are under consideration, though a look into the problem of estimation of the efficient frontier for a basket of stocks. Following an overview of standard portfolio selection theory, a simple risk-return based model will be expanded to a return-earnings-risk model and the portfolio frontier will be projected as a surface in a third dimensional portfolio space. READ MORE

  6. 4. Hedge Funds in a Traditional Portfolio : A Quantitative Case Study Made on the Swedish Hedge Fund Market

    University essay from Umeå universitet/Handelshögskolan vid Umeå universitet

    Author : Daniel Sundqvist; [2009]
    Keywords : Hedge funds; portfolio optimization; markowitz; mean-variance; efficient frontier; case study; skewness; kurtosis; sortino ratio; sharpe ratio; downside deviation; omega ratio;

    Abstract : Hedge funds are a debated subject in today’s financial industry. During 2008, despite hedge funds absolute return target, the global hedge fund industry showed a negative performance whilst the Swedish hedge fund market performed relatively well in comparison. READ MORE

  7. 5. Back Testing the "Magic Formula" in the Nordic Region:

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Victor Persson; Niklas Selander; [2009]
    Keywords : Efficient Markets; Magic Formula; Joel Greenblatt;

    Abstract : We will in this thesis back test Joel Greenblatt’s magic formula on stocks in the Nordic Region between January 1st 1998 and January 1st 2008. We will compare the return with benchmarks such as MSCI Nordic and S&P 500 as well as the return predicted by the Capital Assets Pricing Model (CAPM) and Fama French’s three factor model. READ MORE