Keywords: نسبت شارپ; G17; C58; Sharpe ratio; Rule of thumb; Crocodile rule;
مقالات ISI نسبت شارپ (ترجمه نشده)
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Keywords: نسبت شارپ; Master limited partnership; Alpha; Beta; Sharpe ratio; G11;
Keywords: نسبت شارپ; Heterogeneity; Discount rate risk; Turnover; Liquidity; Sharpe ratio; C61; D53; E44; G11; G12;
Keywords: نسبت شارپ; Performance measurement; Stochastic dominance; Omega ratio; Sharpe ratio; G11; D81;
Keywords: نسبت شارپ; Direct marketing campaign; Sharpe ratio; Cross-selling; Metaheuristics; Multi-objective optimization; Pareto Local Search;
Keywords: نسبت شارپ; C23; G21; Banks; Risk; Earnings; Volatility; Risk-return; Complex; Prospect theory; Market structure; Sharpe ratio;
Keywords: نسبت شارپ; Financial crisis timeline; Federal Reserve; Sharpe ratio;
Keywords: نسبت شارپ; Performance measurement; Rank correlation; Sharpe ratio; Fund evaluation; G10; G11; G23; G29;
Keywords: نسبت شارپ; Copula function; Sharpe ratio; Vector AutoRegressive models; C13; C22; C53; G11;
Keywords: نسبت شارپ; Value premium; Sharpe ratio; CAPM alpha; Stochastic dominance
Keywords: نسبت شارپ; Microgrids; Power dispatching; Energy storage management; Plug-in electric vehicle; Probabilistic forecast; Sharpe ratio;
Keywords: نسبت شارپ; Exchange rates; Skewness; FX risk premium; Sharpe ratio; Currency strategy;
Keywords: نسبت شارپ; G11; G12; G17; Predictive regression; Dividend yield; Dividend price ratio; Sharpe ratio; Stochastic dominance;
Keywords: نسبت شارپ; Bond price; Stock price; Exchange rate; Sharpe ratio; Wald ratio test; Likelihood test; Impulse-response functions; Markov-switching vector autoregressive model; C32; C58; E44; G15; F31;
Keywords: نسبت شارپ; C61; G11; Downside risk measure; Robust tracking error portfolio; Semidefinite programming; Sharpe ratio;
Keywords: نسبت شارپ; C11; C22; G11; G12; Economic constraints; Sharpe ratio; Equity premium predictions;
Keywords: نسبت شارپ; G10; G11; C12; C58; Sharpe ratio; Hedge funds; Robust testing; Performance measurement;
Keywords: نسبت شارپ; G11; G12; G14; M41Accounting-based anomalies; Long-short strategies; Short selling; Market efficiency; Sharpe ratio; Short interest rebates
Keywords: نسبت شارپ; G10; G11Risk-based portfolios; Most diversified portfolio; Equal risk contribution; Minimum variance portfolio; Sharpe ratio; India
A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio
Keywords: نسبت شارپ; Sharpe ratio; Ranking; Location-scale distributions; G10; G11; G23;
A parametric bootstrap to evaluate portfolio allocation models
Keywords: نسبت شارپ; Mean-Variance tests; Estimation error; Sharpe ratio;
Dynamic CAPM under ambiguity-An experimental approach
Keywords: نسبت شارپ; G10; G11; G12; Experimental financial market; CAPM; Fundamentals; Sharpe ratio; Behavioral traits;
A note on optimal portfolios under regime-switching
Keywords: نسبت شارپ; Portfolio selection; Regime-switching; Sharpe ratio; Stochastic dominance; C46; C58; G11;
Análisis de portafolio por sectores mediante el uso de algoritmos genéticos: caso aplicado a la Bolsa Mexicana de Valores
Keywords: نسبت شارپ; desempeño sectorial; portafolio; Alfa de Jensen; Ratio de Sharpe; algoritmos genéticossectorial performance; portfolio; Alpha Jensen; Sharpe Ratio; genetic algorithms
Dynamic factor multivariate GARCH model
Keywords: نسبت شارپ; Dynamic conditional correlation (DCC); Forecasting; Kalman filter; Learning CAPM; Performance evaluation; Sharpe ratio;
An empirical study of nonlinear adjustment in the UIP model using a smooth transition regression model
Keywords: نسبت شارپ; F30; F31; Uncovered interest parity; Smooth transition model (STR); Sharpe ratio; Limits to speculation; Carry trade;
A simple test of optimal hedging policy
Keywords: نسبت شارپ; Optimal hedge ratio; Risk-return measure; Sharpe ratio; Hedging effectiveness; Mean–variance analysis
Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings
Keywords: نسبت شارپ; G10; G11Drawdowns; Hedge funds; Sharpe ratio; Performance measurement; Ranking
A note on empirical Sharpe ratio dynamics
Keywords: نسبت شارپ; G10; G11; Sharpe ratio; Estimator; Performance measurement; Manipulation;
A decision-theoretic foundation for reward-to-risk performance measures
Keywords: نسبت شارپ; D81; G10; G11; G23; G29; Asset management; Performance measurement; Sharpe ratio; Location and scale condition; Risk and reward measurement;
Beyond the Sharpe ratio: An application of the Aumann-Serrano index to performance measurement
Keywords: نسبت شارپ; D81; G11; Performance measurement; Sharpe ratio; Aumann-Serrano index of riskiness; Skewness; Kurtosis; Non-normality;
Distributing weights under hierarchical clustering: A way in reducing performance breakdown
Keywords: نسبت شارپ; Asset allocation; Clustering technique; Sharpe ratio; Evolutionary approach; Heuristic optimization
The mean–variance ratio test—A complement to the coefficient of variation test and the Sharpe ratio test
Keywords: نسبت شارپ; Coefficient of variation; Sharpe ratio; Mean–variance ratio; Hypothesis testing; Uniformly most powerful unbiased test
Sufficient conditions for expected utility to imply drawdown-based performance rankings
Keywords: نسبت شارپ; D81; G10; G11; G23; G29; Asset management; Performance measurement; Sharpe ratio; Drawdown; Calmar ratio; Location and scale condition;
Performance maximization of actively managed funds
Keywords: نسبت شارپ; Fund performance; Alpha; Sharpe ratio; Appraisal ratio; Buy-writeG11; G12; G13; G14
Asset pricing in the production economy subject to monetary shocks
Keywords: نسبت شارپ; E32; E41; E43; E44; G12Real business cycle models; Monetary shocks; Equity premium; Sharpe ratio; Inflation risk premium; Volatility of the risk-free rate
Conditionally fitted Sharpe performance with an application to hedge fund rating
Keywords: نسبت شارپ; G11; Hedge fund; Sharpe ratio; Fitted performance; Fund rating; Segmentation;
Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance
Keywords: نسبت شارپ; G11; Sharpe ratio; Skewness; Kurtosis; Portfolio performance evaluation;
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities
Keywords: نسبت شارپ; G13; G22; C60; Stochastic mortality; Pricing; Annuities; Sharpe ratio; Non-linear partial differential equations; Market price of risk; Equivalent martingale measures;
Effectiveness of measures of performance during speculative bubbles
Keywords: نسبت شارپ; Maximum drawdown; Calmar ratio; Sharpe ratio; Speculative bubbles;
Robust performance hypothesis testing with the Sharpe ratio
Keywords: نسبت شارپ; C12; C14; C22Bootstrap; HAC inference; Sharpe ratio
Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
Keywords: نسبت شارپ; Contingent claim; Pricing; Hedging; Sharpe ratio; Martingales; Transaction costs; Convex programming;
Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
Keywords: نسبت شارپ; G13; G22; C60; 91B30; 91B70; Stochastic mortality; Pricing; Life insurance; Sharpe ratio; Non-linear partial differential equations; Market price of risk; Equivalent martingale measures;
Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK
Keywords: نسبت شارپ; G11; G15; F30; C32Multivariate regime switching; Sharpe ratio; Time-varying predictability
Implications of the Sharpe ratio as a performance measure in multi-period settings
Keywords: نسبت شارپ; C61; G11; J33; Sharpe ratio; Performance measures; Money managers;
Portfolio optimization when asset returns have the Gaussian mixture distribution
Keywords: نسبت شارپ; Mixture of normals distribution; Gaussian mixture distribution; Portfolio optimization; Market distress; Hedge fund portfolio; Sharpe ratio; Lower partial moment; Efficient frontier; Hodges’ modified Sharpe ratio; Exponential utility; Correlation switchin
Hedging life insurance with pure endowments
Keywords: نسبت شارپ; Stochastic mortality; Sharpe ratio; Life insurance; Pure endowments; Non-linear partial differential equations;
Risk-neutral valuation with infinitely many trading dates
Keywords: نسبت شارپ; A.A. Lyapunov theorem; Asset pricing; Martingale measure; Projective system; Sharpe ratio
Does the choice of performance measure influence the evaluation of hedge funds?
Keywords: نسبت شارپ; D81; G10; G11; G29; Asset management; Hedge funds; Performance measurement; Rank correlation; Sharpe ratio;
The empirical risk–return relation: A factor analysis approach
Keywords: نسبت شارپ; G12; G10Stock market volatility; Expected returns; Sharpe ratio