A mixed Sharpe ratio

Wong, Wing‐Keung; Wright, John Alexander; Yam, Philip; Yung, S. P.

doi:10.3233/rda-2012-0051

Cited by 26 publications

(22 citation statements)

References 17 publications

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“…Wong et al (2012) developed a dynamic bang-bang strategy in which the parameters varied over time. Provided that only returns from the relatively recent past was used to estimate λ (in this way, Wong et al (2012)'s method is similar to Lempérière et al (2014)'s), their strategy outperformed the "buy-and-hold" strategy on the CRSP, FTSE 100 and Hang Seng indices. λ has the same sign as the Shiryaev-Zhou index (Wong et al 2012) and determines the optimal buying/selling time of a stock.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Provided that only returns from the relatively recent past was used to estimate λ (in this way, Wong et al (2012)'s method is similar to Lempérière et al (2014)'s), their strategy outperformed the "buy-and-hold" strategy on the CRSP, FTSE 100 and Hang Seng indices. λ has the same sign as the Shiryaev-Zhou index (Wong et al 2012) and determines the optimal buying/selling time of a stock. Combining the dynamic bang-bang strategy of Wong et al (2012) with the Shiryaev-Zhou index provides the theoretical and conceptual framework of our study.…”

Section: Literature Reviewmentioning

confidence: 99%

“…λ has the same sign as the Shiryaev-Zhou index (Wong et al 2012) and determines the optimal buying/selling time of a stock. Combining the dynamic bang-bang strategy of Wong et al (2012) with the Shiryaev-Zhou index provides the theoretical and conceptual framework of our study. first put the Shiryaev-Zhou index into practice, applying the Shiryaev-Zhou index on a number of Hong Kong listed real estate stocks.…”

Section: Literature Reviewmentioning

confidence: 99%

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A New Time-Dependent Trading Strategy for Securitized Real Estate and Equity Indices

Hui

Chan

2017

International Journal of Strategic Property Management

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The "buy-and-hold" strategy based on the EMH has been adopted by many investors for long. However, the global financial crisis in 2008 caused more doubt to be cast on EMH. Therefore, many scholars have attempted to create a trading strategy which can outperform the "buy-and-hold" strategy. In this study, we use the Shiryaev-Zhou index to derive a new generalized time-dependent strategy of which the moving-window size can be changed to see how the moving-window size affects the resulting profit of our strategy. We test our strategy on the securitized real estate and general equity indices of six economies, and find the optimal moving-window size for our strategy on each stock index. The results show that when the optimal moving-window size is used, our strategy outperforms the "buy-and-hold" strategy for most cases. Furthermore, during stock market downturns, it's advisable to adopt our strategy, preferably with larger moving-window sizes, to prevent losses when the stock prices fall rapidly. However, during long periods of booms, it's better to adhere to the "buy-and-hold" strategy. This implies that we should switch strategies when market fundamentals changes significantly. Property practitioners can also apply this strategy for a better portfolio management to increase their profit.Keywords: Shiryaev-Zhou index, "Buy-and-hold", moving-window size, transaction cost, securitized real estate index. Zhou index to develop a new time-dependent trading strategy with a variable moving-window size, which was then applied on a number of securitized real estate indices and general equity indices. We make this comparison because the real estate market has become more and more important recently, especially in Hong Kong and U.S. The property sector (i.e. Hang Seng Property Index)International Journal of Strategic Property Management

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

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A New Time-Dependent Trading Strategy for Securitized Real Estate and Equity Indices

Hui

Chan

2017

International Journal of Strategic Property Management

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“…We include mean-variance rule as one of the risk measures, especially because the approaches discussed in our paper include estimating mean and variance. Readers may refer to Markowitz (1952) and Wong (2007) for the MV rule for risk averters and risk seekers, respectively, refer to , Wong, Wright, Yam, and Yung (2012), and the references there in for the Sharpe ratio, refer to Ma and Wong (2010) and…”

Section: Risk Measure Estimationmentioning

confidence: 99%

Moment Generating Function, Expectation and Variance of Ubiquitous Distributions with Applications in Decision Sciences: A Review

Pho

Tran

et al. 2019

SSRN Journal

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“…We include mean-variance rule as one of the risk measures. Readers may refer to Markowitz (1952) and Wong (2007) for the MV rule for risk averters and risk seekers, respectively, refer to Leung and Wong (2008), Wong, Wright, Yam, and Yung (2012), and the references there in for the Sharpe ratio, refer to Ma and Wong (2010) and the references therein for VaR and conditional-VaR (CVaR), refer to Guo, Jiang, and Wong (2017), Guo, Chan, Wong, and Zhu (2018), and the references therein for the Omega ratio, refer to Niu, Wong, and Xu (2017) and the references therein for the n-order Kappa ratio, refer to Guo, Niu, and Wong (2019) and the references therein for the Farinelli and Tibiletti ratio, and refer to Niu, Guo, McAleer, and Wong (2018), Lu, Yang, Wong (2018), Lu, Hoang, and Wong (2019) and the references therein for the economic performance measure of risk and the economic index of riskiness, refer to Bai, Wang, Wong (2011), Bai, Hui, Wong, Zitikis ( 2012…”

Section: Risk Measuresmentioning

confidence: 99%

Optimal Solution Techniques in Decision Sciences: A Review

Pho

Tran

et al. 2019

SSRN Journal

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Methods to find the optimization solution are fundamental and extremely crucial for scientists to program computational software to solve optimization problems efficiently and for practitioners to use it efficiently. Thus, it is very essential to know about the idea, origin, and usage of these methods. Although the methods have been used for very long time and the theory has been developed too long, most, if not all, of the authors who develop the theory are unknown and the theory has not been stated clearly and systematically. To bridge the gap in the literature in this area and provide academics and practitioners with an overview of the methods, this paper reviews and discusses the four most commonly used methods to find the optimization solution including the bisection, gradient, Newton-Raphson, and secant methods. We first introduce the origin and idea of the methods and develop all the necessary theorems to prove the existence and convergence of the estimate for each method.We then give two examples to illustrate the approaches. Thereafter, we review the literature of the applications of getting the optimization solutions in some important issues and discuss the advantages and disadvantages of each method. We note that all the theorems developed in our paper could be well-known but, so far, we have not seen any book or paper that discusses all the theorems stated in our paper in detail. Thus, we believe the theorems developed in our paper could still have some contributions to the literature. Our review is useful for academics and practitioners in finding the optimization solutions in their studies.

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A mixed Sharpe ratio

Cited by 26 publications

References 17 publications

A New Time-Dependent Trading Strategy for Securitized Real Estate and Equity Indices

A New Time-Dependent Trading Strategy for Securitized Real Estate and Equity Indices

Moment Generating Function, Expectation and Variance of Ubiquitous Distributions with Applications in Decision Sciences: A Review

Optimal Solution Techniques in Decision Sciences: A Review

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