performed to investigate the effects of parameters such as price volatility and price drift. The results demonstrate that price … drift and price volatility might have different effects, depending on the time elapsed and on the debt ratio. In general …

-and-hold strategy. The result shows that switching strategies using GEYR can provide higher return but lower risk than buy …

In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … benchmarks use the lower partial moment as a risk measure. The lower partial moment, however, doesn’t entirely describe the panic …

Increasing attention is paid to risk management under the recent regulatory frameworks of the insurance and financial … capital is usually assessed by means of risk measures. To take adequate decisions, it is essential that managers know how … individual risk contribute to the aggregated capital requirement. Techniques of optimal capital allocation are developed to deal …

each asset as to maximize return and minimize risk. This paper applies the method of genetic algorithm (GA) to obtain an …