Econometric Modeling to Measure the Efficiency of Sharpe's Ratio with Strong Autocorrelation Portfolios

K Chahuán-Jiménez, R Rubilar-Torrealba… - …, 2022 - Wiley Online Library
Sharpe's ratio is the most widely used index for establishing an order of priority for the
portfolios to which the investor has access, and the purpose of this investigation is to verify …

Asset allocation modeling: A combined regime-switching and Black-Litterman model

MM Mousavi, S Naderi… - Journal of Risk modeling …, 2017 - jferm.khatam.ac.ir
One of the most debated issues of investment management is the relative importance of
asset allocation versus security selection. Regimes changes present a big challenge to …

[PDF][PDF] Research Article Econometric Modeling to Measure the Efficiency of Sharpe's Ratio with Strong Autocorrelation Portfolios

K Chahuán-Jiménez, R Rubilar-Torrealba… - 2022 - academia.edu
Sharpe's ratio is the most widely used index for establishing an order of priority for the
portfolios to which the investor has access, and the purpose of this investigation is to verify …

[CITÁCIA][C] Արժեթղթերի շուկաներում ֆինանսական գործիքների գնահատումը ոչ հստակ մեթոդներով

ՎԳ Բարդախչյան - 2017 - ԵՊՀ