Prior literature documents that the Sharpe ratio (SR) generates biases in performance evaluation if returns distribution deviates from normal because SR is derived under mean-variance model with strict assumption of either quadratic preferences or customarily distributed returns. When return distributions deviate normality, it may lead to unreasonable results. Therefore, this study examines whi...

The present paper investigates the performance of open-ended, growth-oriented equity schemes for the period from April 2011 to March 2015 of transition economy. Daily closing NAV of different schemes have been used to calculate the returns from the fund schemes. BSE-sensex has been used for market portfolio. The historical performance of the selected schemes were evaluated on the basis of Sharp...

We explore implications of the rational theory of momentum and reversal in Vayanos and Woolley (2011) for empirical work and portfolio management. We compute closed-form Sharpe ratios of various implementations of momentum and value strategies, of combinations of these strategies, and for general investment horizons. For plausible parameter values, the correlation between momentum and value ret...

Identifying where to invest and how much can be very challenging for common people who have limited knowledge in the domain. Portfolio managers are financial professionals spend a lot of time effort help investors investing funds implementing investment strategies, but not all afford consult them. The study aims develop weighted hybrid recommendation system that recommends an optimized portfoli...

Nowaday, Corporate Socially Responsible (CSR) mutual funds are becoming a popular investment option for investors. However, no any research confirms whether CSR Mutual fund activity is better than market index or not. Besides, we should have one method can help con sequently investors in making the decision to select appropriate investment funds. In this study, we measure the financial performa...

We analyze the problem of pricing and hedging contingent claims in a financial market described by a multi-period, discrete-time, finite-state scenario tree using an arbitrage-adjusted Sharpe-ratio criterion. We show that the writer’s and buyer’s pricing problems are formulated as conic convex optimization problems which allow to pass to dual problems over martingale measures and yield tighter ...

This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for both energy commodities. However, it is difficult to explain the level and variation in energy variance risk premia with systematic or commodi...