Sökning: "Modified Sharpe Ratio"

Hittade 4 uppsatser innehållade orden Modified Sharpe Ratio.

  1. 1. Riskjusterad avkastning i nynoteringar på Aktietorget : En jämförelse av Sharpe- och Sortinokvoten

    Magister-uppsats, Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Petter Fredriksen; Madeleine Lundberg; [2017]
    Nyckelord :IPOs; Aktietorget; Risk-adjusted return; Sharpe ratio; Sortino ratio; Börsintroduktioner. Aktietorget; Riskjusterad avkastning; Sharpekvoten; Sortinokvoten;

    Sammanfattning : Bakgrund: De senaste åren har en stark underprissättningstrend observerats i det ökande antalet börsnoteringar, vilket har skapat ett starkt investerarintresse. En stor del av dessa nyintroducerade bolag är småbolag, varav de flesta noteras på mindre handelsplatsformer, så kallade MTF:er. LÄS MER

  3. 2. A case study on the risk-adjusted- financial performance of The Vice Fund : The risk-adjusted-financial performance of this fund will be evaluate through a comparison with an other mutual fund having a different investment strategy and with two benchmarks.

    Master-uppsats, Företagsekonomi

    Författare :Arthur Bernardin; Camille Dumoussaud; [2013]
    Nyckelord :fund’s return; Sharpe’s ratio; normalized Sharpe’s ratio; modified Sharpe’s ratio; Treynor’s ratio; Jensen’s ratio; sin fund;

    Sammanfattning : Nowadays, there is a debate about the possibility that sin stocks bring higher returns than other ones to the investors. This thesis is a case study on a mutual fund: The Vice Fund. This US fund has a specific investment strategy: it invests in sin stocks. LÄS MER

  4. 3. Aktiv förvaltning : en utvärdering under volatil tid

    Kandidat-uppsats, Sektionen för hälsa och samhälle

    Författare :Pontus Löfberg; Martin Ragnvid; [2013]
    Nyckelord :aktiv fondförvaltning; passiv fondförvaltning; effektiva marknadshypotesen; riskjusterad avkastning; volatilitet;

    Sammanfattning : Over a long period of time, there has been a rich debate in the academic and financial world if active management can generate an excess return. Many experts say that the current active management strategies is nothing more than a money grab that produces large gains, for banks and investment firms, through high management fees while producing no excess value for the individuals buying their service. LÄS MER

  5. 4. A Modified Sharpe Ratio Based Portfolio Optimization

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Pär Lorentz; [2012]
    Nyckelord :Modified Sharpe Ratio; Portfolio Optimization; Transaction Cost; Conditional Forecasting; Performance Analysis; Transition Probability; Stochastic Count Process; Value-at-Risk;

    Sammanfattning : The performance of an optimal-weighted portfolio strategy is evaluated when transaction costs are penalized compared to an equal-weighted portfolio strategy. The optimal allocation weights are found by maximizing a modified Sharpe ratio measure each trading day, where modified refers to the expected return of an asset in this context. LÄS MER