Abstract The purpose of the article was to examine superiority and efficacy Sharpe’s single-index model portfolio optimisation. study has attempted build an optimal Indian mid-cap companies using William model. methodology is also known as Market A selected from Nifty 100 index NSE. MS-Excel 365 been used for analysis. returns during fixed period analysis were compared with benchmark market por...

Sin DD, Man J, Sharpe H, et al. Pharmacological management to reduce exacerbations in adults with asthma: a systematic review and meta-analysis. JAMA 2004;292:367–76. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...

This article selects 10 companies in the financial sector, energy sector and consumption as well SPX500 index. paper uses two models, not only Markowitz model but also index model, to calculate correlation coefficient matrix, minimum variance, maximum Sharpe ratio, capital allocation line so on analyze return rate volatility of specific companies. Four limitations were calculated for Index resp...

This article empirically studies the risk levels of individual pension portfolios, investment efficiency and also diversification investors in Türkiye with a novel administrative data month-end snapshots December 2019. To examine taking behavior, level Turkish investors, we compute beta coefficients, total together idiosyncratic systematic risk, Sharpe Ratio, loss from under-diversification inv...

We study model-driven statistical arbitrage in U.S. equities. The trading signals are generated in two ways: using Principal Component Analysis and using sector ETFs. In both cases, we consider the residuals, or idiosyncratic components of stock returns, and model them as mean-reverting processes. This leads naturally to “contrarian” trading signals. The main contribution of the paper is the co...

In this paper, we analyze momentum strategies that are based on reward-risk stock selection criteria in contrast to ordinary momentum strategies based on a cumulative return criterion. Reward-risk stock selection criteria include the standard Sharpe ratio with variance as a risk measure, and alternative reward-risk ratios with the expected shortfall as a risk measure. We investigate momentum st...

<p style="text-indent:20px;">In this paper, we investigate sparse portfolio selection models with a regularized <inline-formula><tex-math id="M1">\begin{document}$ l_p $\end{document}</tex-math></inline-formula>-norm term id="M2">\begin{document}$ (0<p\leq 1) $\end{document}</tex-math></inline-formula> and negatively bounded shorting constrain...