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Measurement of extreme market risk : insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …

Persistent link: https://www.econbiz.de/10013183970

Classical Portfolio Performance Measures : A Primer

Francois, Pascal - 2020

In this primer, we review the classical methods for assessing the performance of a financial portfolio. The analysis relies on benchmarking the return on the portfolio with that of a peer group. We define and discuss the pros and cons of four performance metrics that are theoretically consistent...

Persistent link: https://www.econbiz.de/10012844038

The Comparative Study of Behavioral Finance Approach and Standard Finance in Choosing the Optimized Portfolio; In the Times of Boom and Depression in Capital Market of IRAN

Peyravi, Samaneh - 2017

investors. With establishment of a branch named behavioral finance which is based on the works of Kahneman and Tuerski, the role … of financial sciences. On the basis of the behavioral finance theories, the financial behavior of the investors in … is studied in Tehran stock market during 2009 to 2014 from two different aspects of standard and behavioral finance. In …

Persistent link: https://www.econbiz.de/10012959197

How to Select a Portfolio Performance Measure?

Francois, Pascal - 2020

This paper reviews the main dimensions underlying the selection of a classical portfolio performance measure, namely the Sharpe Ratio, Jensen's alpha, the Modified Jensen's alpha, the Treynor Ratio, and the Information Ratio. We first examine how they differ from each other according to the risk...

Persistent link: https://www.econbiz.de/10012825971

Using a Mean Changing Stochastic Processes Exit-Entry Model for Stock Market Long-Short Prediction

Lleo, Sebastien; Zhitlukhin, Mikhail; Ziemba, William T. - 2021

Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study of mean changing models in stock markets. The idea is to enter and exit stock markets like Apple Computer and the broad S&P500 index at good times...

Persistent link: https://www.econbiz.de/10013220323

Semiparametric Portfolios : Improving Portfolio Performance by Exploiting Non-Linearities in Firm Characteristics

Caldeira, João; A. P. Santos, Andre; Torrent, Hudson - 2021

We present a semiparametric portfolio optimization method in which portfolio weights are parameterized as a non-linear function of firm characteristics. This approach generalizes the linear parametric portfolio policy of Brandt et al. (2009) and can be applied to high-dimensional problems at a...

Persistent link: https://www.econbiz.de/10013231520

Markowitz Meets Technical Analysis : Building Optimal Portfolios by Exploiting Information in Trend-Following Signals

A. P. Santos, Andre; Torrent, Hudson - 2022

Technical indicators are widely used by market participants to identify trends in asset prices and in trading volumes. However, it is unclear how to reconcile this approach with a portfolio selection policy that guide investment decisions in many assets at the same time. We bridge the gap...

Persistent link: https://www.econbiz.de/10013289219

Portfolio Management Framework for Derivative Instruments

Vorobets, Anton - 2022

The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...

Persistent link: https://www.econbiz.de/10014236873

Portfolio behaviour of commercial banks : the expected utility approach : evidence from Jordan

Al-Tarawneh, Alaaeddin; Khataybeh, Mohmmad - In: International journal of economics and financial issues … 5 (2015) 2, pp. 312-323

Persistent link: https://www.econbiz.de/10011453501

Evaluating Trading Strategies

Harvey, Campbell R. - 2019

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to...

Persistent link: https://www.econbiz.de/10012904784

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