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Adjusting for risk:: An improved Sharpe ratio

Citations

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Cited by:

  1. Zakamouline, Valeri & Koekebakker, Steen, 2009. "Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1242-1254, July.
  2. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, March.
  3. Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014. "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers 2014-294, Department of Research, Ipag Business School.
  4. Rossello, Damiano, 2015. "Ranking of investment funds: Acceptability versus robustness," European Journal of Operational Research, Elsevier, vol. 245(3), pages 828-836.
  5. Samane Al-sadat Mousavi & Ali Dolati & Ali Dastbaravarde, 2024. "Some Results on Bivariate Squared Maximum Sharpe Ratio," Risks, MDPI, vol. 12(6), pages 1-17, May.
  6. Neely, Christopher J., 2003. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," International Review of Economics & Finance, Elsevier, vol. 12(1), pages 69-87.
  7. Jesse M. Keenan, 2018. "Regional resilience trust funds: an exploratory analysis for leveraging insurance surcharges," Environment Systems and Decisions, Springer, vol. 38(1), pages 118-139, March.
  8. Gabriel Frahm & Ferdinand Huber, 2019. "The Outperformance Probability of Mutual Funds," JRFM, MDPI, vol. 12(3), pages 1-29, June.
  9. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
  10. Jesse M. Keenan & Anurag Gumber, 2019. "California climate adaptation trust fund: exploring the leveraging of cap-and-trade proceeds," Environment Systems and Decisions, Springer, vol. 39(4), pages 454-465, December.
  11. Michael Pohl, 2010. "Auswirkungen der Risikomessmethode auf die Anlageperformance – Eine empirische Untersuchung für den Fall definierter Risikolimite in der Planungsrechnung anhand des DAX," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 21(1), pages 59-80, June.
  12. Claudio Giannotti & Gianluca Mattarocci, 2013. "The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Gianluca Mattarocci (ed.), Asset Pricing, Real Estate and Public Finance over the Crisis, chapter 10, pages 165-189, Palgrave Macmillan.
  13. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2016. "The impact of screening strategies on the performance of ESG indices," Working Papers hal-01344699, HAL.
  14. Maria-Laura Torrente & Pierpaolo Uberti, 2024. "Risk-adjusted geometric diversified portfolios," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(1), pages 35-55, February.
  15. Kwok Wai Yu & Xiao Qi Yang & Heung Wong, 2007. "Asset allocation by using the Sharpe rule: How to improve an existing portfolio by adding some new assets?," Journal of Asset Management, Palgrave Macmillan, vol. 8(2), pages 133-145, July.
  16. Judy Hsu & Kuo-An Li, 2013. "Performance assessments of Taiwan’s financial holding companies," Journal of Productivity Analysis, Springer, vol. 40(1), pages 137-151, August.
  17. Ben Ameur, Hachmi & Jawadi, Fredj & Jawadi, Nabila & Cheffou, Abdoulkarim Idi, 2020. "Assessing downside and upside risk spillovers across conventional and socially responsible stock markets," Economic Modelling, Elsevier, vol. 88(C), pages 200-210.
  18. Seitz, Franz & Auer, Benjamin R., 2008. "Performancemessung: Theoretische Maße und empirische Umsetzung mit VBA," Weidener Diskussionspapiere 12, University of Applied Sciences Amberg-Weiden (OTH).
  19. Kim, A. & Yang, Y. & Lessmann, S. & Ma, T. & Sung, M.-C. & Johnson, J.E.V., 2020. "Can deep learning predict risky retail investors? A case study in financial risk behavior forecasting," European Journal of Operational Research, Elsevier, vol. 283(1), pages 217-234.
  20. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
  21. Charles, Amélie & Darné, Olivier & Pop, Adrian, 2015. "Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes," Research in International Business and Finance, Elsevier, vol. 35(C), pages 33-56.
  22. Zhao, Shengli, 2024. "Objective acceptability indexes," International Review of Financial Analysis, Elsevier, vol. 95(PC).
  23. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," LIDAM Discussion Papers CORE 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  24. Dirk Löhr, 2017. "Zur Ermittlung eines marktgerechten Erbbauzinses – ein Praktikermodell [Assessment of market-oriented ground rents – a practice-oriented model]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 3(1), pages 1-19, April.
  25. Kolesnikova, A. & Yang, Y. & Lessmann, S. & Ma, T. & Sung, M.-C. & Johnson, J.E.V., 2019. "Can Deep Learning Predict Risky Retail Investors? A Case Study in Financial Risk Behavior Forecasting," IRTG 1792 Discussion Papers 2019-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  26. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014. "A Survey On The Four Families Of Performance Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
  27. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
  28. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
  29. Y. Malevergne & D. Sornette, 2002. "Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets," Papers cond-mat/0207475, arXiv.org.
  30. Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
  31. Veliu Denis, 2023. "Numerical approximation in the application of Risk Parity with Conditional Value at Risk in case of mixed portfolios," European Journal of Economics, Law and Social Sciences, Sciendo, vol. 7(3), pages 22-34.
  32. Sally G. Arcidiacono & Damiano Rossello, 2022. "A hybrid approach to the discrepancy in financial performance’s robustness," Operational Research, Springer, vol. 22(5), pages 5441-5476, November.
  33. Maria Teresa Medeiros Garcia & Daniel Alexandre Bourdain Santos Borrego, 2018. "Calculating the Efficient Frontier for the Portuguese Stock Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(4), pages 339-349, November.
  34. Hsin-Hung Chen & Hsien-Tang Tsai & Dennis Lin, 2011. "Optimal mean-variance portfolio selection using Cauchy-Schwarz maximization," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2795-2801.
  35. Angelini, Pierpaolo & Maturo, Fabrizio, 2022. "The price of risk based on multilinear measures," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 39-57.
  36. Pierpaolo Angelini, 2023. "Probability Spaces Identifying Ordinal and Cardinal Utilities in Problems of an Economic Nature: New Issues and Perspectives," Mathematics, MDPI, vol. 11(20), pages 1-22, October.
  37. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
  38. Ioan Trenca & Simona Mutu & Nicolae Petria, 2011. "Econometric Models Used For Managing The Market Risk In The Romanian Banking System," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2011, pages 115-123, july.
  39. Mazin A.M. Al Janabi, 2021. "Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 387-415, April.
  40. Rottmann, Horst & Franz, Thomas, 2008. "Die Performance deutscher Aktienfonds: Lassen sich Selektions- und Timingfähigkeiten nachweisen und hat die Wahl des Performancemaßes einen Einfluss auf die Beurteilung?," Weidener Diskussionspapiere 5, University of Applied Sciences Amberg-Weiden (OTH).
  41. Dipankar Mondal & N. Selvaraju, 2020. "Upside Beta Ratio: A Performance Measure For Potential-Seeking Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-26, April.
  42. Eling, Martin & Schuhmacher, Frank, 2007. "Does the choice of performance measure influence the evaluation of hedge funds?," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2632-2647, September.
  43. Auer, Benjamin R., 2014. "Should hedge funds be cautious reporting high returns?," Research in International Business and Finance, Elsevier, vol. 30(C), pages 195-201.
  44. Ayub, Usman & Qaddus, Uzma & Zakaria, Muhammad & Shafique, Attayah & Ahmed, Junaid, 2018. "Thou should not panic! Let calmness fight the Crocodile Bite," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 302-315.
  45. Hachmi Ben Ameur & Fredj Jawadi & Abdoulkarim Idi Cheffou & Wael Louhichi, 2018. "Measurement errors in stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 287-306, March.
  46. Shafique, Attayah & Ayub, Usman & Zakaria, Muhammad, 2019. "Don’t let the Greed catch you! Pleonexia rule applied to Pakistan stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 157-168.
  47. Fischer, Thomas & Lundtofte, Frederik, 2020. "Unequal returns: Using the Atkinson index to measure financial risk," Journal of Banking & Finance, Elsevier, vol. 116(C).
  48. Gonzalo Cortazar & Alejandro Bernales & Diether Beuermann, 2005. "Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading," Finance 0512030, University Library of Munich, Germany.
  49. repec:ipg:wpaper:2014-393 is not listed on IDEAS
  50. Kitzing, Lena, 2014. "Risk implications of renewable support instruments: Comparative analysis of feed-in tariffs and premiums using a mean–variance approach," Energy, Elsevier, vol. 64(C), pages 495-505.
  51. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
  52. Díaz, Antonio & Esparcia, Carlos & Alonso, Daniel & Alonso, Maria-Teresa, 2024. "Portfolio management of ESG-labeled energy companies based on PTV and ESG factors," Energy Economics, Elsevier, vol. 134(C).
  53. Ángel León & Manuel Moreno, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
  54. Esparcia, Carlos & López, Raquel, 2024. "Performance of crypto-Forex portfolios based on intraday data," Research in International Business and Finance, Elsevier, vol. 69(C).
  55. Benedikt Hoechner & Peter Reichling & Gordon Schulze, 2015. "Pitfalls of downside performance measures with arbitrary targets," FEMM Working Papers 150018, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  56. Martin Eling & Simone Farinelli & Damiano Rossello & Luisa Tibiletti, 2010. "Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(4), pages 290-304, September.
  57. Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.
  58. Dirk Tasche & Luisa Tibiletti, 2003. "A Shortcut to Sign Incremental Value at Risk for Risk Allocation," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 4(2), pages 43-46, January.
  59. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
  60. Jinho Choi & Nina Shin & Yong Sik Chang, 2021. "Strategic Investment Decisions for Emerging Technology Fields in the Health Care Sector Based on M&A Analysis," Sustainability, MDPI, vol. 13(7), pages 1-20, March.
  61. Teresa Garcia & Daniel Borrego, 2017. "Markowitz Efficient Frontier And Capital Market Line – Evidence From The Portuguese Stock Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 22(1), pages 3-23.
  62. Hsu, Pao-Peng & Liao, Szu-Lang, 2012. "The portfolio strategy and hedging: A spectrum perspective on mean–variance theory," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 129-140.
  63. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.
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