With the advent in recent years of large financial data sets, machine learning and highperformance computing, analysts can backtest millions (if not billions) of alternative investment strategies. Backtest optimizers search for combinations of parameters that maximize the simulated historical performance of a strategy, leading to backtest overfitting. The problem of performance inflation extend...

Tujuan dari penelitian ini untuk menganalisis tingkat efisiensi pasar modal bentuk kuat di Indonesia dengan melakukan perbandingan antara kinerja saham reksa dana saham. Jenis data pada adalah kuantitatif yaitu sekunder dalam harian tahun 2021. Metode yang digunakan Jensen Index, Sharpe Treynor Ratio, Information Ratio dan Sortino Ratio. Hasil menunjukkan bahwa tidak berada kuat. Maka implikasi...

to obtain an approximate second-order KKT solution of the `p-norm models in polynomial time with a fixed error tolerance, and then test our `p-norm models on CRSP(1992-2013) and also S&P 500 (2008-2012) data. The empirical results illustrate that our `p-norm regularized models can generate portfolios of any desired sparsity with portfolio variance, portfolio return and Sharpe Ratio comparable t...

This paper examines some performance measures to be considered as an alternative of the Sharpe Ratio. More specifically, we analyze allocation problems taking into consideration portfolio selection models based on different performance ratios. For each allocation problem, we compare the maximum expected utility observing all the portfolio selection approaches proposed here. We also discuss an e...

This survey of the literature on the value of active management shows that the average active manager does not outperform but that a significant minority of active managers do add value. Further, studies suggest that investors may be able to identify superior active managers (SAMs) in advance by using public information. Investors who can identify SAMs should be able to improve their overall Sh...