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Stock performance by utility indifference pricing and the Sharpe ratio

Hodoshima, Jiro - In: Quantitative finance 19 (2019) 2, pp. 327-338

Persistent link: https://www.econbiz.de/10012194656

Evaluation by the Aumann and Serrano performance index and Sharpe ratio : Bitcoin performance

Hodoshima, Jiro; Otsuki, Nana - In: Applied economics 51 (2019) 39, pp. 4282-4298

Persistent link: https://www.econbiz.de/10012197003

Comparing nexus of ranking among mutual fund categories and families of performance measures at investment policy level

Ahmed, Wajid Shakeel; Sheikh, Jibran; Paracha, Adil Tahir - In: International journal of financial engineering 7 (2020) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10012602972

Risk-return based performance evaluation of stocks in BIST 100 and KOMPAS 100 indices of Borsa Istanbul and Indonesian stock exchange

Öcal, Hüseyin; Kamil, Anton Abdulbasah - In: Scientific papers of the University of Pardubice 29 (2021) 2, pp. 1-13

This study aims to provide empirical insights into stocks' performance in the BIST 100 index of Borsa Istanbul and KOMPAS 100 index of the Indonesian Stock Exchange. The risk-free rates and top 100 stocks closing price data of Borsa Istanbul (BIST) and Indonesia Stock Exchange (IDX) have been...

Persistent link: https://www.econbiz.de/10012517147

Sensitivity of performance indexes to disaster risk

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Risks : open access journal 9 (2021) 2/40, pp. 1-22

We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and Foster-Hart performance index proposed by Kadan and Liu....

Persistent link: https://www.econbiz.de/10012483189

Good carry, bad carry

Bekaert, Geert; Panayotov, George - 2019

Persistent link: https://www.econbiz.de/10011982008

An alternative approach for portfolio performance evaluation : enabling fund evaluation relative to peer group via Malkiel’s monkey

Lee, Yongjae; Kwon, Do-Gyun; Kim, Woo Chang; Fabozzi, … - In: Applied economics 50 (2018) 40, pp. 4318-4327

Persistent link: https://www.econbiz.de/10012060850

Beyond Sharpe ratio : comparison of risk-adjusted performance of Shariah-compliant and conventional indices

Raza, Muhammad Wajid; Ye, Jiang - 2025

Persistent link: https://www.econbiz.de/10015359669

The effect of fund size on mutual funds performance in Egypt

Farid, Samar; Wahba, Hayam - In: Future Business Journal 8 (2022), pp. 1-11

The growth of mutual funds investment and its importance to various economies has become more significant in the past few decades. There are many factors that affect the mutual fund performance one of those factors are fund size. The researcher will investigate the effect of fund size on mutual...

Persistent link: https://www.econbiz.de/10013380404

How do corporate bond investors measure performance? : evidence from mutual fund flows

Dang, Thuy Duong; Hollstein, Fabian; Prokopczuk, Marcel - In: Journal of banking & finance 142 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013473090