The Sharpe ratio is a widely used tool for assessing investment strategy performance. An essential part of investing involves creating an appropriate portfolio by determining the optimal weights for desired assets. Before constructing a portfolio, se...
An intersection–union test for supporting the hypothesis that a given investment strategy is optimal among a set of alternatives is presented. It compares the Sharpe ratio of the benchmark with that of each other strategy. The intersection&ndas...
The Sharpe ratio is a widely used risk-adjusted performance measurement in economics and finance. Most of the known statistical inferential methods devoted to the Sharpe ratio are based on the assumption that the data are normally distributed. In thi...
The optimization of investment portfolios represents a pivotal task within the field of financial economics. Its objective is to identify asset combinations that meet specified criteria for return and risk. Traditionally, the maximization of the Shar...
Accurate prediction of the Sharpe ratio, a key metric for risk-adjusted returns in financial markets, remains a significant challenge due to the complex and stochastic nature of stock price movements. This paper introduces a novel deep learning model...
The Sharpe ratio is a measure based on the theory of mean variance, it is the measure of the performance of a portfolio when the risk can be measured through the standard deviation. This paper suggests a Sharpe-ratio portfolio solution using a second...
The notion of compensation for systematic risk is well ingrained in finance and constitutes the basis for numerous empirical tests. The concept an increase in systematic risk is accompanied by an increase in the required risk premium has strong intui...
The analysis presented in this paper regards the security of a present value given as an ordered fuzzy number. The present value was estimated in an imprecise manner and supplemented by the forecast of its coming changes. A discount factor of such se...
We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explo...
Portfolio management, a critical application of financial market analysis, involves optimising asset allocation to maximise returns while minimising risk. This paper addresses the notable research gap in analysing historical financial data for portfo...
The classic model of Markowitz for designing investment portfolios is an optimization problem with two objectives: maximize returns and minimize risk. Various alternatives and improvements have been proposed by different authors, who have contributed...
Results of studies have varied significantly regarding the effect of ESG investment on firm value. This paper weighs in on this issue by analyzing how changes in ESG scores impact excess stock market returns (alpha) and risk-adjusted returns (Sharpe...
Sharp-crested weirs are commonly used in hydraulic engineering for flow measurement and control. Despite extensive research on sharp-crested weirs, particularly regarding their discharge coefficients, more information is needed via research on their...
To address challenges in stock price prediction including data nonlinearity and anomalies, we propose a hybrid CNN-BiGRU-AM framework integrated with deep learning-based anomaly detection. First, an anomaly detection module identifies irregularities...
This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the Dantzig type optimization is used to construct a sparse, sustainable and stable portfolio....
A series of experimental tests on flow-induced motion (FIM) and energy conversion of two rigidly coupled triangular prisms (TRCTP) in tandem arrangement were conducted in a recirculating water channel with the constant oscillation mass mosc. The inco...
In this paper, we analyze the relative performances of pairs trading and cross-sectional momentum (CSM) strategies by comparing their expected returns. It is shown that the Sharpe ratio and the autocorrelation in the spread between the asset returns...
In this paper, we establish a new coherent risk measure on Lp, which we refer to as the monotone mean Lp-deviation risk measure. Then, the related properties are discussed. Furthermore, from the perspective of acceptance set, we discuss the relations...
This paper compares the rulebooks of five main Shariah-compliant equity indices—DJIMI, KLSI, FTSE Shariah, MSCI Islamic, and STOXX Europe Islamic 50—inside one fixed S&P 500 stock list from Q1 2019 to Q4 2023. For each index, we build...
This research explores the efficacy of rebalancing strategies in a diversified portfolio constructed exclusively with exchange-traded funds (ETFs). We selected five ETF types: short-term U.S. Treasury bonds, U.S. equities, global commodities, U.S. re...
We clear up an ambiguity in the statement of the GRS statistic by providing the correct formula of the GRS statistic and the first proof of its F-distribution in the general multiple-factor case. Casual generalization of the Sharpe-ratio-based interp...
We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying stochastic process is assumed to be a normal mixture process with time-varying volatility. We compare the Aumann-Serrano performance in...
We study recent monthly data to help long-term investors buy or sell from the 30 Dow Jones Industrial Average (DJIA) Index components. The recommendations are based on six stock-picking algorithms and their average ranks. We explain the reasons for i...
This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall e...
This article investigates the connection between US logistics companies’ commitment to environmental, social and fair governance (ESG) strategy and their performance on the US stock market during the 2007–2022 period. The research conside...
In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class incorporates as special cases important measures such as the mean-variance, Sharpe ratio, mean-standard deviation and others. We provide an...
This study examines whether portfolio optimization can be effectively based on annual changes in the harmonized index of consumer prices (HICP) data. Specifically, we assess whether asset allocation based on consumer expenditure can generate superior...
Motivated by a practical problem faced by an energy trading company in Poland, we investigate the profitability of balancing intermittent generation from renewable energy sources (RES). We consider a company that buys electricity generated by a pool...
We investigate the profitability of systematic sector rotation strategies in the Canadian equity market using TSX 60 constituents (2000–2025). Testing 72 distinct strategies across three theoretical frameworks—momentum, mean-reversion, an...
Flow-induced motion (FIM) performs well in energy conversion but has been barely investigated, particularly for prisms with sharp sections. Previous studies have proven that T-section prisms that undergo galloping branches with high amplitude are ben...
In this article, we analyse the impact of the introduction of options on an investment portfolio. Our first objective is to derive closed-form formulae for the standard measures of portfolio efficiency: risk premium, risk, Sharpe ratio, and beta, of...
In order to evaluate the impact of k-means clustering on portfolio optimization, this study groups enterprises based on profitability, liquidity, and solvency indicators. The study confirms the positive correlation between risk, return, and risk-adju...
The existing approaches to identification of emerging technologies create a prominent opportunity for technology convergence and market growth potential. However, existing approaches either suffer from the time lag issue or have yet to explorethe ass...
This study investigates how U.S. Federal Reserve interest rate cuts during the 2019–2020 easing cycle influenced the performance of equity mutual funds, with a particular emphasis on contrast between growth and value investment styles. Using an...
In the field of financial investment, accurate prediction of financial market values can increase investor profits. Investor personality affects specific portfolio solutions, which keeps them symmetrical in the process of investment competition. Howe...
We propose a novel model to achieve superior out-of-sample Sharpe ratios. While most research in asset allocation focuses on estimating the return vector and covariance matrix, the first component of our novel model instead forecasts the future tange...
Assessing the performance of optical imaging systems is crucial to evaluate their capability to satisfy the product requirements for an Earth Observation (EO) mission. In particular, the evaluation of image quality is undoubtedly one of the most impo...
Homebuilder ETFs provide investors with a diversified portfolio of residential construction and sales companies which reduces risks associated with individual stock selection in the sector. This study examines the net monthly returns of homebuilder e...
This study examines the net monthly returns of real estate exchange-traded funds (ETFs) through various performance evaluation models and market situations. The results reveal that these ETFs generated positive alphas and outperformed benchmark indic...
The cryptocurrency landscape underwent significant changes in 2024 with the regulatory approval of spot Bitcoin ETFs, opening the market to institutional investors and millions of new clients. As Bitcoin reached new price peaks, the market attracted...
We examine how sensitive the new performance indexes incorporating high moments and disaster risk are to disaster risk. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and Foster-Hart...
The rise of digital technology and artificial intelligence has led to a significant change in the way financial services are delivered. One such development is the emergence of robo advising, which is an automated investment advisory service that uti...
This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility d...
In many financial markets across the globe, full historical position disclosure is not required of mutual funds, or it is subject to prolonged delays, often due to regulatory restrictions. This makes measuring fund manager performance based upon the...
In finance, the most efficient portfolio is the tangency portfolio, which is formed by the intersection point of the efficient frontier and the capital market line. This paper defines and explores a time-varying tangency portfolio under nonlinear con...
The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM d...
We investigate whether sovereign bond holdings of European banks are determined by a risk–return trade-off. Using data between 2011 and 2018 for 75 European banks, we confirm that banks exhibited risk-taking behavior during the sovereign debt c...
We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion...
This study evaluates the risk-adjusted performance of Hospitality REITs using multi-factor asset pricing models and downside risk measures with the aim of assessing their diversification potential and crisis sensitivity. Unlike prior studies that exa...
This study investigates an aerodynamic optimization framework inspired by marine biological morphology, utilizing the sailfish profile as a basis for airfoil configuration. Through Latin hypercube experimental design combined with optimization algori...
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