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Double-sided balanced conditional Sharpe ratio

Tajdini, Saeid; Mehrara, Mohsen; Tehrani, Reza - In: Cogent economics & finance 7 (2019) 1, pp. 1-17

The purpose of this study was to investigate the behavior of various indices of Tehran Stock Exchange firstly in the 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...

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