Essays about: "Normalized Sharpe ratio"

Found 3 essays containing the words Normalized Sharpe ratio.

  1. 1. Robust Portfolio Optimization with Correlation Penalties

    University essay from KTH/Matematisk statistik

    Author : Pelle Nydahl; [2023]
    Keywords : Portfolio Optimization; Portfolio Allocation; Robust Optimization; Correlation; Risk Factor Model; EMA Filtering; Weighted Linear Regression; Portföljoptimering; Portföljallokering; Robust optimering; Korrelation; Riskfaktor-modell; EMA-filtrering; Viktad linjär regression;

    Abstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE

  3. 2. 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

  4. 3. NOT THE SHARPEST TOOL IN THE BOX : A quantitative study of the reliability of the Sharpe ratio in a Bear market

    University essay from Handelshögskolan vid Umeå universitet

    Author : Wesley James Short; Jan Oskar Lind; [2010]
    Keywords : Sharpe ratio; PPM system; Normalized Sharpe ratio; Risk;

    Abstract : Our thesis was conducted through quantitative research on the validity of the Sharpe ratio as a performance measure in bear market conditions. Previous research had identified problems with mismatches in ranking due to Sharpe ratios rewarding unsystematic risk in funds. READ MORE