نتایج جستجو برای: sharpe index
تعداد نتایج: 397312 فیلتر نتایج به سال:
This research aims to test and empirically analyze industrial performance as reflected in the of stocks listed Jakarta Islamic Index using risk adjusted return ratio, Sharpe, Treynor Jensen alpha.Analysis for hypothesis testing purposive sampling method. The population this is all sharia indexes on (JII) Indonesia. period information that object weekly index from April 2019 December 2020, total...
in this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by rahnamaye roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with sharpe and treynor performance measures and tested by an active portfolio management approach to identify the portfolios by perform...
We investigate daily robust hedging performance with trading costs for markets of S&P 500 Index option (SPX) and Taiwan Index option (TXO). Robust hedging refers to minimal model dependence on the risky asset price. Two hedging categories including " model-free " and " volatility-model-free, " and nonparametric methods for volatility estimation are considered in our empirical study. In particul...
The SHARPE package is now 1 3 y ears old. A w ell known package in the eld of reliability and performability, SHARPE is used in universities as well as in companies. Many important c hanges have been made during these years to improve the satisfaction of our users. Recently several new algorithms have been added and a Graphical User Interface has been implemented. This paper presents the curren...
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