Conditional Sharpe Ratios

Chow, Victor; Lai, Christine W.

doi:10.1016/j.frl.2014.11.001

Cited by 13 publications

(9 citation statements)

References 20 publications

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“…Problems in EngineeringSo far, we verify that the model meets four terms, and that means model(17) can be translated to its equivalent form:min SM [y ]…”

mentioning

confidence: 83%

“…Step 3. Compare the obtained optimal values of submodels (35)- (37), and choose the minimum as the global optimal value of original model (17).…”

Section: The Domain Decomposition Methodsmentioning

confidence: 99%

“…The decision variable of model (17) is x ∈ , while the decision variables of model (33) are y ∈ and . If (y * , * ) ∈ +1 is a globally optimal solution for model (33), then x * = y * / * is a globally optimal solution for model (17).…”

Section: The Equivalent Parametric Programmingmentioning

confidence: 99%

“…In the previous subsection, fuzzy Sharpe ratio portfolio selection model (17) has been transformed into equivalent nonfractional programming (33). In the following, we will discuss the equivalent parametric submodels of model (33) under the assumption that uncertain returns are parametric intervalvalued trapezoidal fuzzy variables.…”

Section: The Equivalent Parametric Submodelsmentioning

confidence: 99%

“…Martin et al [16] presented the CVaR ratio in which CVaR was substituted for variance. Chow and Lai [17] introduced the conditional Sharpe ratios (CSR) that measured lower partial risk-adjusted excess returns of an asset with respect to return distribution on the benchmark based on the conditional stochastic dominance. The authors summarized the monotonic transformations of Sharpe ratio with eleven downside risks in [18].…”

Section: Introductionmentioning

confidence: 99%

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A Parametric Sharpe Ratio Optimization Approach for Fuzzy Portfolio Selection Problem

Liu¹,

Li²

2017

Mathematical Problems in Engineering

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When facing to make a portfolio decision, investors may care more about every portfolio's performance on a return and risk tradeoff. In this paper, a new low partial moment measurement that only punishes the loss risk is defined for selection variables based on L-S integral. Furthermore, a new performance measure for portfolio evaluation is proposed to generalize the Sharpe ratio in the fuzzy context. With the optimal performance criterion, a new parametric Sharpe ratio portfolio optimization model is developed wherein uncertain returns are presented as parametric interval-valued fuzzy variables. To make the proposed model easy to solve, we transform the fractional programming into an equivalent form and solve it with domain decomposition method (DDM). Finally, we apply the proposed performance measure into a portfolio selection problem, compare the computational results in different cases, and analyze the influence of different parameters on the optimal portfolio.

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“…Problems in EngineeringSo far, we verify that the model meets four terms, and that means model(17) can be translated to its equivalent form:min SM [y ]…”

mentioning

confidence: 83%

“…Step 3. Compare the obtained optimal values of submodels (35)- (37), and choose the minimum as the global optimal value of original model (17).…”

Section: The Domain Decomposition Methodsmentioning

confidence: 99%

Section: The Equivalent Parametric Programmingmentioning

confidence: 99%

Section: The Equivalent Parametric Submodelsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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A Parametric Sharpe Ratio Optimization Approach for Fuzzy Portfolio Selection Problem

Liu¹,

Li²

2017

Mathematical Problems in Engineering

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Portfolio selection in euro area with CAPM and Lower Partial Moments models

Fonseca

Soares²

2019

Port Econ J

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This article selects portfolios using estimates given by CAPM and three Lower Partial Moments models (LPM). The CAPM assumption about investors' behaviour towards risk is that they are equally concerned with upside and downside risk. The LPM models, however, are based on the assumption that investors' utility functions weight downside risk more heavily than upside risk. The major difference between LPM models is their definition of upside and downside risk. The asset pricing models estimations and the corresponding portfolio selection were conducted on several euro area domestic stock indexes and the European Monetary Union stock market index (EMU). A pairwise comparison of portfolio performance is conducted through Sharpe ratios calculated separately for upside and downside market conditions. The results of this comparative analysis of different pricing models provide evidence that CAPM and one LPM model offer better protection against adverse market conditions than the other two LPM models studied.

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Generic Pareto local search metaheuristic for optimization of targeted offers in a bi-objective direct marketing campaign

Coelho

Oliveira

Coelho

et al. 2017

Computers & Operations Research

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International audienceCross-selling campaigns seek to offer the right products to the set of customers with the goal of maximizing expected profit, while, at the same time, respecting the purchasing constraints set by investors. In this context, a bi-objective version of this NP-Hard problem is approached in this paper, aiming at maximizing both the promotion campaign total profit and the risk-adjusted return, which is estimated with the reward-to-variability ratio known as Sharpe ratio. Given the combinatorial nature of the problem and the large volume of data, heuristic methods are the most common used techniques. A Greedy Randomized Neighborhood Structure is also designed, including the characteristics of a neighborhood exploration strategy together with a Greedy Randomized Constructive technique, which is embedded in a multi-objective local search metaheuristic. The latter combines the power of neighborhood exploration by using a Pareto Local Search with Variable Neighborhood Search. Sets of non-dominated solutions obtained by the proposed method are described and analyzed for a number of problem instances

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Conditional Sharpe Ratios

Cited by 13 publications

References 20 publications

A Parametric Sharpe Ratio Optimization Approach for Fuzzy Portfolio Selection Problem

A Parametric Sharpe Ratio Optimization Approach for Fuzzy Portfolio Selection Problem

Portfolio selection in euro area with CAPM and Lower Partial Moments models

Generic Pareto local search metaheuristic for optimization of targeted offers in a bi-objective direct marketing campaign

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