Tajdini, Saeid; Mehrara, Mohsen; Tehrani, Reza - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-17
boom period from 2018-03-21 to 2018-11-02 and secondly in the recession period from 2016-03-20 to 2016-12-20 using double-sided … balanced conditional Sharpe ratio. The results of this study showed the best performance for the insurance index with a double-sided … basis of the double-sided balanced conditional Sharpe ratio, the food except for sugar index with a measure of 0.035 showed …