The Sharpe Ratio Indifference Curve

نویسندگان

  • David H. Bailey
  • Marcos M. López de Prado
  • David Leinweber
  • John Wu
چکیده

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Comparison of Portfolios Formed by Use of Grid Strategy Model Based on New and Traditional Variables Performance With Sharpe and Treynor Measures (Evidence of IRAN Exchange)

In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by perform...

متن کامل

The strategy approval decision: A Sharpe ratio indifference curve approach

The problem of capital allocation to a set of strategies could be partially avoided or at least greatly simplified with an appropriate strategy approval decision process. This paper proposes such procedure. We begin by splitting the capital allocation problem into two sequential stages: Strategy approval and portfolio optimization. Then we argue that the goal of the second stage is to beat a na...

متن کامل

Outperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process

This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...

متن کامل

Indifference Prices and Related Measures

The traditional approach towards derivative pricing consists of dynamically replicating a future liability by trading the assets on which that liability is written. However, the assumption that one can trade the assets is often rather restrictive. In some cases, say of options on commodities or funds, one can at best trade another correlated asset. In others, as in the case of basket options, e...

متن کامل

Getting Tough on Crime: Exercises in Unusual Indifference Curves

Applications help teach theory. Two generations of students have learned to appreciate the power of indifference-curve analysis through the in-kind transfers versus income transfers exercise in the typical consumer-theory chapter of their textbooks and the negative income tax versus guaranteed income analysis in the factor-input chapter (Mansfield 1993; Browning and Zupan 1996; Pindyck and Rubi...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2012