نتایج جستجو برای: adjusted evaluation indices using semivariance modified sharpe

تعداد نتایج: 4254827  

2013
K. Liagkouras K. Metaxiotis

The paper addresses the constrained mean-semivariance portfolio optimization problem with the support of a novel multi-objective evolutionary algorithm (n-MOEA). The use of semivariance as the risk quantification measure and the real world constraints imposed to the model make the problem difficult to be solved with exact methods. Thanks to the exploratory mechanism, n-MOEA concentrates the sea...

2009
Arjen Siegmann

Downside deviation, semivariance, or the second lower partial moment are different names for the same risk measure, proposed in the literature for capturing the downside risk of investment decisions. This paper analyzes multiperiod decision making under such a risk measure, and finds that a V-shaped decision rule in wealth is prevalent for the most common assumptions on the distribution of unce...

2011
Maslina Ahmad Razali Haron

This research reports on the findings of a study that examined the performance of Islamic unit trust funds in comparison with the conventional trust funds in Malaysia. The objectives of the study were to compare the nature and characteristics of both funds, assess their risks and returns profiles, measure the degree of diversification and compare the consistency of performance ranking. The perf...

Journal: :Stroke 2013
Young Ho Park Beom Joon Kim Jun-Soon Kim Mi Hwa Yang Myung Suk Jang Nayoung Kim Moon-Ku Han Ji Sung Lee Juneyoung Lee Sangyun Kim Hee-Joon Bae

BACKGROUND AND PURPOSE Although both ends of the hemoglobin range may negatively influence clinical outcomes in acute ischemic stroke, most studies have examined the linear relationship or focused on the lower end of the range. Furthermore, it is unclear whether hemoglobin concentrations at different time points during hospitalization correlate with clinical outcomes in the same manner. METHO...

2008
Philippe Bertrand Costin Protopopescu

Performance measures such as the Sharpe ratio and the information ratio are estimation subject to estimation error. Lo (2002) derives the explicit expressions for the statistical distribution of the Sharpe ratio. Bertrand and Protopopescu (2007) have extended his work to the bivariate case which corresponds to the Information ratio. In the present paper, we analyze the effects of skewness and k...

2015
Benoît Sévi

a r t i c l e i n f o Keywords: Risk-return tradeoff Downside-risk MIDAS regressions HAR model Intraday data This paper considers the downside-risk aversion of investors as an explanation for the risk-return trade-off. We test empirically this hypothesis using intraday data along with the recent measure of downside-risk called realized semivariance developed in Barndorff-Nielsen et al. (2010). ...

Journal: :Malaysian journal of real estate 2023

Investors are expected to be guided through investment performance measurement and analysis in order safeguard against potential loss of returns or the capital invested. Whereas residential real estate (RRE) constitutes a significant part portfolios individual institutional investors across globe, assessment risk-return RRE Nigeria generally has not been well researched. (RE) Lafia city Nasaraw...

Background & Objectives: inappropriate diet and the lack of necessary nutrition receiving during pregnancy, effects on maternal and neonatal health. This study carried out to investigate the effect of maternal supplements during pregnancy on growth indices at birth. Material & Methods: This cohort study was carried out on part of Bandar Abbas Cohort study data. The main exposure in this study w...

Journal: :International Journal of Professional Business Review 2023

Purpose: The main purpose of this study is to analyse the performance mutual funds using Risk- Return Relationship Models. Theoretical framework: One India's most important financial intermediaries, can provide a wide range services small and large investors. They are also involved in country's transformation, their market participation has become more important. Evaluating fund's concerns inve...

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