Robo advisors, algorithmic trading and investment management: Wonders of fourth industrial revolution in financial markets
One of the important contributions of the fourth industrial revolution is the introduction of robo
advisors as alternates to conventional mutual funds. Robo advisors are mechanized …
advisors as alternates to conventional mutual funds. Robo advisors are mechanized …
[PDF][PDF] The choice of performance measure does influence the evaluation of hedge funds
V Zakamouline - Available at SSRN, 2010 - Citeseer
It is widely accepted that, when return distributions are non-normal, the use of the Sharpe
ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund …
ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund …
Block bootstrap methods and the choice of stocks for the long run
P Cogneau, V Zakamouline - Quantitative Finance, 2013 - Taylor & Francis
Financial advisors commonly recommend that the investment horizon should be rather long
in order to benefit from the 'time diversification'. In this case, in order to choose the optimal …
in order to benefit from the 'time diversification'. In this case, in order to choose the optimal …
[图书][B] All that glitters is not gold: Comparing backtest and out-of-sample performance on a large cohort of trading algorithms
T Wiecki, A Campbell, J Lent, J Stauth - 2019 - c.mql5.com
When automated trading strategies are developed and evaluated using backtests on
historical pricing data, there exists a tendency to overfit to the past. Using a unique dataset of …
historical pricing data, there exists a tendency to overfit to the past. Using a unique dataset of …
The outperformance probability of mutual funds
G Frahm, F Huber - Journal of Risk and Financial Management, 2019 - mdpi.com
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 …
used in order to compare a strategy with a specified benchmark, and develop the basic …
Zastosowanie analizy falkowej w ocenie efektywności funduszy inwestycyjnych
A Zamojska - Prace Naukowe Uniwersytetu Ekonomicznego we …, 2015 - ceeol.com
The study is to evaluate and compare the performance of investment funds. The proposed
approach evaluates the effectiveness of the fund's investment strategy in terms of the …
approach evaluates the effectiveness of the fund's investment strategy in terms of the …
[PDF][PDF] Analysis and Optimization of Investment Portfolio Performance: Case Study of PLN Pension Fund
A Macenning, DB Hakim, T Andati - International Journal of …, 2019 - academia.edu
This study aimed to analyses the performance of each asset in the investment portfolio using
the riskadjusted performance and also to analyses the composition of the investment …
the riskadjusted performance and also to analyses the composition of the investment …
[PDF][PDF] Bootstrap methods for finance: Review and analysis
P Cogneau, V Zakamouline - 2010 - quantdevel.com
In finance one often needs to estimate the risk and reward of an asset over a long-run given
a sample of observations over a short-run. Two common obstacles in these estimations are …
a sample of observations over a short-run. Two common obstacles in these estimations are …
Time aggregation of the Sharpe ratio
The Sharpe ratio (SR) is the most widely used risk-adjusted performance index. The building
blocks of the SR–the expected return and the volatility–depend on the investment horizon …
blocks of the SR–the expected return and the volatility–depend on the investment horizon …
Small sample inferences on the sharpe ratio
S Unhapipat, JY Chen, N Pal - American Journal of Mathematical …, 2016 - Taylor & Francis
SYNOPTIC ABSTRACT This work deals with statistical inferences on the “Sharpe Ratio”(SR)
based on small samples. We have considered point estimation, interval estimation, as well …
based on small samples. We have considered point estimation, interval estimation, as well …