Portfolio Optimization Using Conditional Sharpe Ratio
نویسندگان
چکیده
منابع مشابه
Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum wealth achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local stochastic volatility (LSV). The newly proposed investment objective paradigm also allows the investor to set portfolio benchmark targets. In the absence of closed-...
متن کاملPortfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
We study the finite horizonMerton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the ‘implied Sharpe ratio’ and derive a series approximation for this quantity. The zeroth-order approximation of the value fu...
متن کاملPossibilistic Sharpe Ratio Based Novice Portfolio Selection Models
This paper uses the concept of possibilistic risk aversion to propose a new approach for portfolio selection in fuzzy environment. Using possibility theory, the possibilistic mean, variance, standard deviation and risk premium of a fuzzy number are established. Possibilistic Sharpe ratio is defined as the ratio of possibilistic risk premium and possibilistic standard deviation of a portfolio. T...
متن کاملPortfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio
We study the finite horizonMerton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the ‘implied Sharpe ratio’ and derive a series approximation for this quantity. The zeroth-order approximation of the value fu...
متن کاملAn Algorithm for Trading and Portfolio Management Using Q-learning and Sharpe Ratio Maximization
A trading and portfolio management system called QSR is proposed. It uses Q-learning and Sharpe ratio maximization algorithm. We use absolute proot and relative risk-adjusted proot as performance function to train the system respectively, and employ a committee of two networks to do the testing. The new proposed algorithm makes use of the advantages of both parts and can be used in a more gener...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Letters of Chemistry, Physics and Astronomy
سال: 2015
ISSN: 2299-3843
DOI: 10.18052/www.scipress.com/ilcpa.53.130