Studying the susceptibility of peach trees to Grapholita molesta (Busck) is one of the major steps in the development of pest-resistant peach varieties. This work evaluated the susceptibility of 55 genotypes of the "Prunus Rootstock Collection" ("Coleção Porta-enxerto de Prunus") of Embrapa Temperate Climate (Pelotas, Rio Grande do Sul, Brazil) to the natural infestation of G. molesta, assessed...

Portfolio asset management must minimize risk exposure for the investor. Measuring performance of any instrument can be done by looking at risk-reward. Observe stock listed in BUMN 20 Index with measurement analytical tools like Sharpe ratio, Treynor Ratio, and Sortino ratio. This study is descriptive quantitative research as this aims to explain how ratio between 2018 2021. All population focu...

We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities. One result of our paper is that the value of the life annuity is identical to the upper go...

The paper analyzes the asset pricing implications of performance fees linking the compensation of fund managers to the return of the managed portfolio relative to that of a benchmark portfolio. Symmetric (“fulcrum”) performance fees distort the allocation of managed portfolios in a way that induces a significant positive effect on the equilibrium prices of stocks included in the benchmark portf...

The present paper investigates the performance of open-ended, growth-oriented equity schemes for the period from April 2011 to March 2015 of transition economy. Daily closing NAV of different schemes have been used to calculate the returns from the fund schemes. BSE-sensex has been used for market portfolio. The historical performance of the selected schemes were evaluated on the basis of Sharp...

Artificial neural networks are used in conjunction with the Sharpe-Linter form of the Capital Asset Pricing Method (CAPM) to predict when the returns on U.S. stocks will be greater than financial risk models would predict. The advantage of using a nonlinear approach is to model the financial system more accurately than linear techniques. The Sharpe-Lintner form is used to control for risk and d...

In 2017 to 2020 the Jakarta Islamic Index (JII) showed a positive trend and was quite stable compared LQ45 index. The selection of JII stock index in this study is intended obtain maximum profits. Investors are expected create series portfolios get profit. One ways identify stocks for portfolio formation use factor analysis. Factor analysis used summarize large number variables into new, smalle...

The objective of this work was to evaluate which nonlinear model [Davidson (1942, 1944), Stinner et al. (1974), Sharpe & DeMichele (1977), and Lactin et al. (1995)] best describes the relationship between developmental rates of the different instars and stages of Alabama argillacea (Hübner) (Lepidoptera: Noctuidae), and temperature. A. argillacea larvae were fed with cotton leaves (Gossypium hi...

We explore implications of the rational theory of momentum and reversal in Vayanos and Woolley (2011) for empirical work and portfolio management. We compute closed-form Sharpe ratios of various implementations of momentum and value strategies, of combinations of these strategies, and for general investment horizons. For plausible parameter values, the correlation between momentum and value ret...

We use a log-normal framework to examine the effect of preferences on the market price for risk, that is, the Sharpe ratio. In our framework, the Sharpe ratio can be calculated directly from the elasticity of the stochastic discount factor with respect to consumption innovations as well as the volatility of consumption innovations. This can be understood as an analytical shortcut to the calcula...