Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires a high precision risk evaluation and an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out...

The purpose of this paper is to examine the application LSTM and mean variance portfolio optimization in Chinese stock market. 20 stocks are selected from CSI 300 components, we collect their High, Low, Open, Adjust Close trade volume June 16th 2020 2022. Then use model forecast price. results used construct 2 portfolios. One maximize Sharpe ratio, other minimize variance. From April 6th 2022, ...

This study aimed at comparing the performances of distinct hedge fund strategies and assessing diversification opportunities using funds. paper analyses overall performance (as indices) for period 2001-2020. Hedge are compared alternative risk adjusted metrics; first, alpha based on four asset-pricing models (CAPM, Fama-French 3 factor, Carhart 5 factor models); then, Sharpe ratio. The findings...

this paper seeks two goals concurrently, at one hand tries to assay the capability of topsis, vikor and similarity-based approach as multiple attribute decision making approaches in evaluating mutual funds in iran stock exchange, and at the other hand in this evaluation tries to consider and compare three groups of indices including general evaluating indices (age, net value of mutual fund’s as...

O presente artigo tem como objetivo analisar o índice de Sharpe sob Endividamento das empresas, assim verificando a hipótese que uma empresa com maior indicador possui também um risco e, portanto menor Sharpe. Na metodologia, os dados foram obtidos através dos Formulários Referência (FRE) da BM&FBovespa (B3), empresas carteira Teórica do Ibovespa, entre período 1996 2016. Para verificar rel...

A proximate, biophysical model is proposed describing temperature-modulated variation in growth rate and differentiation rate in ectotherms, based upon the Sharpe–Schoolfield equation connecting enzyme kinetics and biological rates. Like the Sharpe-Schoolfield equation, the model assumes (1) that growth rate and differentiation rate can be described as controlled by one rate-limiting enzyme; in...

In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black and Litterman framework (BL; J. Fixed Income, 1991, 1, 7–18; Financ. Anal. J. 1992, 48, 28–43). In particular, we incorporate the s-scores and the...

In this paper we propose a financial trading system whose strategy is developed by means of an artificial neural network approach based on a recurrent reinforcement learning algorithm. In general terms, this kind of approach consists in specifying a trading policy based on some predetermined investor’s measure of profitability, and in setting the financial trading system while using it. In part...