Essays about: "Modified Sharpe Ratio"

Found 2 essays containing the words Modified Sharpe Ratio.

1. 1. A case study on the risk-adjusted- financial performance of The Vice Fund : The risk-adjusted-financial performance of this fund will be evaluate through a comparison with an other mutual fund having a different investment strategy and with two benchmarks.

   University essay from Företagsekonomi

   Author : Arthur Bernardin; Camille Dumoussaud; [2013]
   Keywords : fund’s return; Sharpe’s ratio; normalized Sharpe’s ratio; modified Sharpe’s ratio; Treynor’s ratio; Jensen’s ratio; sin fund;

   Abstract : Nowadays, there is a debate about the possibility that sin stocks bring higher returns than other ones to the investors. This thesis is a case study on a mutual fund: The Vice Fund. This US fund has a specific investment strategy: it invests in sin stocks. READ MORE

3. 2. A Modified Sharpe Ratio Based Portfolio Optimization

   University essay from KTH/Matematisk statistik

   Author : Pär Lorentz; [2012]
   Keywords : Modified Sharpe Ratio; Portfolio Optimization; Transaction Cost; Conditional Forecasting; Performance Analysis; Transition Probability; Stochastic Count Process; Value-at-Risk;

   Abstract : The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected return of an asset in this context. READ MORE