نتایج جستجو برای: risk measures provide much better risk adjusted performance than cumulative return
تعداد نتایج: 4660969 فیلتر نتایج به سال:
In recent years, algorithmic and high-frequency trading have been the subject of increasing risk concerns. A general theme that we adopt in this thesis is that trading practitioners are predominantly interested in risk-adjusted performance. Likewise, regulators are demanding stricter risk controls. First, we scrutinise conventional AI model design approaches with the aim to increase the risk-ad...
Data Envelopment Analysis (DEA) is a mathematic technique to evaluate the relative efficiency of a group of homogeneous decision making units (DMUs) with multiple inputs and outputs. The efficiency of each unit is measured based on its distance to the production possibility set (PPS). In this paper, the BCC model is used in output-oriented. The average return on profit as output and the covaria...
This paper presents a Genetic Algorithm Fuzzy Data Envelopment Analysis (GA-FDEA) model that caters for optimal selecting of economic indicators for the measurement of relative productivity and performance of financial institutions. Imprecise or uncertain data of financial institutions due to varying monetary policies and market risk were retrieved from Nigeria Stock Exchange Commission and eva...
OBJECTIVE To examine disease activity versus treatment as lymphoma risk factors in systemic lupus erythematosus (SLE). METHODS We performed case-cohort analyses within a multisite SLE cohort. Cancers were ascertained by regional registry linkages. Adjusted HRs for lymphoma were generated in regression models, for time-dependent exposures to immunomodulators (cyclophosphamide, azathioprine, me...
empirical researches have shown that in highly volatile market, conditional correlation between returns is stronger, so diversification cannot reduce risk. to test this claim in iran’s financial market, quintiles of stock return distribution have been estimated by kernel density and garch models. then, average conditional correlation, error variance and conditional capm has been calculated to t...
Background: The predictive power of obesity measures varies according to the presence of coexistent measures. The present study aimed to determine the predictive power of combinations of obesity measures for diabetes by calculation of a linear risk score. Methods: Data from a population-based cross-sectional study of 994 representative samples of Iranian adults in Babol, Iran were analyzed. Me...
Heavy tailedness and interconnectedness widely exist in stock returns large insurance claims, which contributes to huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using Value-at-Risk, is known capture extreme risks better than variance. The portfolio optimization strategy based on DR maximizes effect risks. In this paper, we empirically ...
We document substantial practitioner interest in measures of the downside tail risk of hedge funds, such as maximum drawdown (MDD) and worst one-period loss, together with a general sentiment that “classical” performance measures such as the Sharpe Ratio do not convey enough information about tail risk. We characterize the nite-sample distribution of these measures and show that it depends line...
The financial system plays a fundamental role in the global economy as the middleman between agents who need to borrow and agents who are willing to lend or invest. As a consequence, it is naturally linked to all economic sectors and, therefore, if the financial system does not work properly, its problems have a strong impact on the real economy. We can see this in the deteriorating fundamental...
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