We calculate the partition function of partially quenched chiral perturbation theory in the epsilon regime at next-to-leading order using the supersymmetry formulation developed by Sharpe and Shoresh. We include a nonzero imaginary chemical potential and show that the finite-volume corrections to the low-energy constants Σ and F for the partially quenched partition function, and hence for spect...

This paper examines the impact of hedge fund redemption restrictions such as lockup period, notice period, and redemption period on fund flow, risk, and performance. We first examine the effects of redemption restrictions conditional on past poor performance. We then examine the differential impact of redemption restrictions under different market conditions. We find that during normal periods,...

Our objective in this article is to study analytically the effect of borrowing constraints on asset returns. We explicitly characterize the equilibrium for an exchange economy with two agents who differ in their risk aversion and are prohibited from borrowing. In a representative-agent economy with CRRA preferences, the Sharpe ratio of equity returns and the riskfree rate are linked by the risk...

Momentum strategies exhibit rare but dramatic losses (crashes), which we show are a result of the leverage dynamics of stocks in the momentum portfolio. When the economy is in a hidden turbulent state associated with a depressed and volatile stock market, the short-side of the momentum portfolio becomes highly levered, and behaves like a call option on the market index portfolio, making momentu...

The Sharpe ratio is a measure based on the theory of mean variance, it performance portfolio when risk can be measured through standard deviation. This paper suggests Sharpe-ratio solution using second order cone programming (SOCP). We use penalty-regularized method to represent nonlinear problem. present computationally tractable way determining portfolio. A Markov chain structure employed und...

SHARPE is a well known package in the field of reliability and performability, used in universities as well as in companies. A modeler who is familiar with many different kinds of models, can easily choose models that best suit a particular system and the kind of measure that is needed at each stage of the design. It is also possible to use different kinds of models hierarchically for different...

This paper considers efficient set mathematics for the case where the covariance matrix of asset returns is assumed known but ex ante the vector of expected returns is replaced by an estimated or forecast value. It is shown that the ex post mean and variance differ from the standard results. Consequently the maximum Sharpe ratio portfolio also differs from the standard result. However, even wit...

This paper examines how to build a portfolio and assess the impact of COVID-19 on performance using Sharpe single index model. The research sample consists ten high market capitalization stocks representing five price fractions population listed Indonesia Stock Exchange during outbreak from March 1 May 31, 2020. results show that there are four included in formation, namely CASA with proportion...