Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 7 of 7 for “"Sortino ratio"”.
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Distintas ópticas de riesgo financiero: aplicación para el mercado bursátil argentino
… así como más relevantes el Value at Risk (VAR), Sortino Ratio, y Sharpe Ratio. Luego, en los últimos años, con una orientación de valor, se formuló que el riesgo de una cartera podía ser pensado simplemente como la pérdida de poder adquisitivo de la cartera, y que a largo plazo es el factor más …
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Performance Evaluation of South African Mutual Funds: The Effects of Fees on Performance
… In order to measure these funds, the Information ratio (1973), the Sharpe ratio (1965), Jensen's alpha (1968) and the Sortino ratio (1980) methods are used. Jensen's alpha is also used in identifying selectivity skills of fund managers. None of the funds in the sample were found to outperform …
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Analytics for financing drug development
… lack of funding. This thesis focuses on an exploration of financial engineering techniques aimed at addressing these concerns. Despite the recent financial crisis, many suggest that securitization is an appropriate tool for financing such large social challenges. Although securitization has been …
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Bitcoin: The New Virtual Gold? An investigation into the diversification properties of Bitcoin within a South African portfolio
… the risk-return efficiency (measured i.t.o. the Sortino ratio) and shifts the efficient frontier up and outwards under every portfolio framework, and (ii) that it is far superior to physical gold in this regard under all portfolio frameworks, including within the asset weighting constraints …
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Performance of Socially Responsible Investment Funds in South Africa
… were considered were the Sharpe, Treynor and Sortino ratio's as well as the Jensen's alpha measure. These performance metrics were applied to a sample size of 29 funds for the full research period. The findings were that there was a statistically significant difference in performance from …
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Essays in Empirical Asset Pricing and International Finance
… of risk-adjusted metrics such as the Sharpe ratio, Sortino ratio, Calmar ratio, and gain-to-pain ratio. Moreover, the rolling out-of-sample R² underscores sDOC's adaptability under both calm and turbulent market conditions, positioning it as a robust and interpretable tool for asset return …
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The Development Role Played by Targeted Development Investments in South Africa and Their Risk-Adjusted Performance Over a 10-Year Period
… 3 public sector investment institutions or corporations. The analysis on the performance of the private sector TDI funds examined their risk adjusted performance using Treynor, Sharpe, Sortino, and Information ratios. The risk adjusted performance was used to test whether the TDI fund returns …