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Showing 1 to 20 of 184 for “"Sharpe"”.
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Asymptotic Likelihood Inference for Sharpe Ratio
The Sharpe ratio is one of the most widely used measures of the performance of an investment with respect to its return and risk. Since William Sharpe (1966) defined the ratio, as the funds excess return per unit of risk measured by standard deviation, investments have been often ranked and …
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Habitat Selection and Movement of Pallid Sturgeon in Lake Sharpe, South Dakota
… pallid sturgeon, Scaphirhynchus albus, in Lake Sharpe, South Dakota, a Missouri River reservoir. Seven pallid sturgeon, (three < 5 kg and four 5 kg) were implanted with sonic tags and followed between June 1989 and October 1991. Pallid sturgeon selected the 4-5 m depth interval of water (4.6 ± …
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Results and Evaluation of An Aerial Creel Survey Technique On Lake Sharpe, South Dakota
… two independent surveys, was conducted on Lake Sharpe, South Dakota from May, 1973, through May, 1974. An aerial fisherman count was used to estimate fishing pressure and an angler interview survey was used to estimate catch rates, mean party size, mean fisherman day, and residence of the …
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A comparison of steam and electric drive in no. 4 building of Brown & Sharpe Manufacturing Co.
Thesis (B.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering, 1911.
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The Use of the Ostracode Cyprideis Americana (Sharpe) as a Proxy for Salinity in Bahamian Lake Systems
<p>Ostracodes, bi-valved crustaceans, are potentially excellent proxies for salinity.They are abundant, react to changes in salinity, and secrete low-magnesium calcite shells that preserve information about their host water chemistry. Changes in valve trace element concentration, stable isotope …
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Analisis perbandingan evaluasi portofolio reksadana terproteksi (konvensional dan syariah) menggunakan metode Sharpe, Treynor, Jensen periode 2012-2014
… terproteksi syariah dengan menggunakan metode sharpe index, treynor index, dan jensen index. Populasi dalam penelitian ini adalah reksa dana yang dikelola oleh Manajer Investasi yang mengelola keduasub kategori, reksa dana terproteksi konvensional dan reksa dana terproteksi syariah. Metode …
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Perbandingan kinerja reksadana saham konvensional dan reksadana saham syariah di Indonesia dengan metode sharpe, treynor, jensen, rasio informasi dan roy safety first ratio
… syariah dan konvensional menggunakan metode sharpe, treynor, jensen, rasio informasi dan roy safety first ratio. Penelitian ini, menggunakan jenis penelitian kuantitatif. Dengan menggunakan populasi 151 reksadana saham konvensional dan 14 reksadana saham syariah. Sedangkan pengambilan sample …
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Portfolio constuction using robust weight functions
… portfolio selection models are formulated. The Sharpe Single Index and the Improved Sharpe Single Index models have been formulated in a bid to form better performing models. In the optimization algorithms, these models tend to not select highly volatile shares and thus eliminate the possibility …
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The Contribution of Missouri River Reservoir Side-Channel and Floodplain Habitats to Mainstem Fish Populations: The Effects of Losing Connectivity Between Hipple Lake and Lake Sharpe
… stilling basins, and tributaries) in Lake Sharpe, SD. Floodplain and side-channel habitats are rare habitat in Lake Sharpe, a mainstem Missouri River reservoir, and are thought to be crucial habitat for prey and sport fish. Hipple Lake, the only warm-water floodplain embayment in Lake …
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Mengukur kinerja reksadana saham syariah menggunakan indeks sharpe, treynor, jensen, rasio informasi, sortino dan roy safety first: Studi kasus pada reksadana saham syariah yang terdaftar di JII
… saham syariah yang dipilih, menggunakan Indeks Sharpe, Indeks Treynor, Indeks Jensen, Rasio Informasi, Rasio Sortino Dan Rasio Roy Safety First. Tujuan penggunaan ke-enam metode adalah untuk mengetahui apakah ada perbedaan kinerja reksadana saham syariah. Penelitian ini menggunakan metode …
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Do investment strategies based on previous performance yield higher returns? Evidence from South African bond funds
… South African bond mutual funds. I utilize the Sharpe Ratio, the modified Sharpe ratio, Jensen's alpha and the multi-index models to examine whether peformance is influenced by the performance measure used. In addition, I examine the impact of conditioning information variables on performance by …
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Accurate estimation of risk when constructing efficient portfolios for the capital asset pricing model
… Capital Asset Pricing Model (TrosHos CAPM) and Sharpe Capital Asset Pricing Model (Sharpe CAPM) when the covariance structure of the residuals is correlated under the Markowitz formulation. By building in the dynamic time series models: AR, GARCH and AR/GARCH we were able to model the …
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The Existence of Capital Market Equilibrium and Asset Demand Correspondences
… which has appeared since the development of the Sharpe-Lintner-Mossin model, only one attempt appears to have been made to prove that in fact capital market equilibria exist. Furthermore, it appears that capital market theory has represented by the Sharpe-Lintner-Mossin model and its many …
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Risk-return portfolio modelling
… on Markowitz original framework, William Sharpe, extended these ideas by connecting a portfolio to a risky asset. This extension became known as the Sharpe Index Model. There are number of assumptions governing the residuals of the Sharpe index model, one being that the error terms of the …
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Statistical arbitrage in South Africa
… costs, the portfolio has an encouraging Sharpe ratio of 2.1. When realistic transaction costs are factored in, the Sharpe ratio drops to 0.43.The results underline the theoretical profitability of statistical arbitrage as a trading strategy and highlight the importance of transaction …
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Dynamic and robust estimation of risk and return in modern portfolio theory
… the expected return and variance of the returns. Sharpe uses the same optimization approach but estimates the mean and covariance in a regression framework using the index models. Sharpe makes a crucial assumption that the residuals from different assets are uncorrelated and that the beta …
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Statistical guarantees of performance for RTL designs
… design cycle. In this thesis, we introduce the SHARPE (Statistical High-level Analysis and Rigorous Performance Estimation) methodology. Our SHARPE methodology is a rigorous, systematic approach to verify design correctness in RTL in the presence of variations. We construct macromodels to …
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Optimal versus naive diversification : do different loss functions improve portfolio choice?
… model. I find that when measuring performance by Sharpe ratio, choice of loss function strongly influences whether the mean-variance model portfolio outperforms the equal weight or minimum variance portfolio, and that the optimal loss function depends on the length of the estimation window and the …
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Information and sentiment in financial markets
… The resulting portfolio achieves an annualized Sharpe ratio of 3.96, significantly higher than that of a passive investment (as proxied by S&P 500 index) and dictionary method, which achieves a Sharpe ratio of 0.32 and 2.94 respectively. We find that dictionary methods struggle to extract …
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Assessment of White Bass Populations in Missouri River Impoundments Located in South Dakota
… the total harvest of sport fishes in Lakes Oahe, Sharpe, Francis Case, and Lewis and Clark, but little is known about their population dynamics. Age-0 white bass catch per unit effort (CPUE) in standardized seine samples from 1983 to 1995 was correlated with environmental data to assess potential …
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