scholarly journals Econometric Modeling to Measure the Efficiency of Sharpe’s Ratio with Strong Autocorrelation Portfolios

Complexity ◽  
2022 ◽  
Vol 2022 ◽  
pp. 1-10
Author(s):  
Karime Chahuán-Jiménez ◽  
Rolando Rubilar-Torrealba ◽  
Hanns de la Fuente-Mella

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 that Sharpe’s ratio allows decisions to be made in investment portfolios considering different financial market conditions. The research is carried out by autoregressive model (AR) of the financial series of returns using Sharpe’s ratio for evaluations looking over the priority of financial assets which the investor can access while observing the effects that can cause autocorrelated series in evaluation measures for financial assets. The results presented in this study confirm the hypothesis proposed in which Sharpe’s ratio allows decisions to be made in the selection of investment portfolios under normal conditions thanks to the definition of a robustness function, whose empirical estimation shows an average 73% explanation of the variance in the degradation of the Spearman coefficient for each of the performance measures; however, given the presence of autocorrelation in the financial series of returns, this similarity is broken.

2015 ◽  
Vol 2531 (1) ◽  
pp. 103-112 ◽  
Author(s):  
Yannick Cornet ◽  
Henrik Gudmundsson

Several recent papers presented at the annual meeting of the Transportation Research Board, Washington, D.C., and elsewhere have reported on efforts to make sustainability manageable. To this end, the papers suggested the use of indicators and performance measures to help conceptualize and operationalize sustainability for transportation-related planning and decision making. Often these studies presented frameworks that would allow sustainability indicators and measures to be included in, for example, agency strategies and practices. Moreover, some papers suggested criteria for the selection of individual indicators and performance measures. The studies, however, did not always agree on the definition of a framework or how to use one to make sustainability-based decisions, and they tended to differ on underscored aspects and concerns. The current study addressed the issue of frameworks more generically and explored what was termed a “metaframework” with a set of associated criteria to guide the framing of indicators for sustainable transportation. On the basis of an explicit framework theory, the three functions of conceptualization, operationalization, and utilization were found to provide a logical structure of complementary features with which to build indicator frameworks. Characteristics of robust indicator frameworks were evaluated in terms of their significance for the three key functions, and they were collected in a list of criteria. A review of the Brundtland Report provided an example of how a more finely grained understanding of sustainability can inform the conceptualization criterion ranking of sustainability impacts. The metaframework was intended primarily as a basis for empirical analysis and for meta-evaluation of existing practice frameworks with respect to the strength of the level of sustainability that they are likely to provide.


2012 ◽  
Vol 19 (2) ◽  
pp. 265-272
Author(s):  
Jalimar Guimarães Simplício ◽  
Celso Funcia Lemme ◽  
Ricardo Pereira Câmara Leal

The objective of this article is to compare investment project selection using the efficient frontier in the mean-variance space based on optimization models introduced by Markowitz (1952) with the project ranking method according to the profitability index (PI). The selection of real assets by companies did not incorporate the mean-variance optimization procedure in the same way the selection of financial assets in investment portfolios did. The process of selection and formation of portfolios of investment projects for the oil area of a company in the energy industry was analyzed. Project portfolios formed according to the usual company practice of ranking by their PI were compared with those that result from applying mean-variance optimization through Monte Carlo simulation, which allows the computation of mean returns, variances, and covariances for the set of projects considered. The inefficiency of project portfolios obtained by ranking according to the PI compared to those obtained by the method of Markowitz suggests that there are opportunities to improve the process of selecting the set of projects to be implemented by companies.


Author(s):  
P. M. Lowrie ◽  
W. S. Tyler

The importance of examining stained 1 to 2μ plastic sections by light microscopy has long been recognized, both for increased definition of many histologic features and for selection of specimen samples to be used in ultrastructural studies. Selection of specimens with specific orien ation relative to anatomical structures becomes of critical importance in ultrastructural investigations of organs such as the lung. The uantity of blocks necessary to locate special areas of interest by random sampling is large, however, and the method is lacking in precision. Several methods have been described for selection of specific areas for electron microscopy using light microscopic evaluation of paraffin, epoxy-infiltrated, or epoxy-embedded large blocks from which thick sections were cut. Selected areas from these thick sections were subsequently removed and re-embedded or attached to blank precasted blocks and resectioned for transmission electron microscopy (TEM).


Think India ◽  
2019 ◽  
Vol 22 (3) ◽  
pp. 72-83
Author(s):  
Tushar Kadian

Actually, basic needs postulates securing of the elementary conditions of existence to every human being. Despite of the practical and theoretical importance of the subject the greatest irony is non- availability of any universal preliminary definition of the concept of basic needs. Moreover, this becomes the reason for unpredictability of various political programmes aiming at providing basic needs to the people. The shift is necessary for development of this or any other conception. No labour reforms could be made in history till labours were treated as objects. Its only after they were started being treating as subjects, labour unions were allowed to represent themselves in strategy formulations that labour reforms could become a reality. The present research paper highlights the basic needs of Human Rights in life.


Author(s):  
I.V. TORBINA ◽  
◽  
I.R. FARDEYEVA ◽  

The paper assesses the promising varieties of winter wheat in a competitive variety test by the main economic and biological characteristics that determine the suitability of the variety for commercial use. The object of research was the authors’ own breeding material. The experiments on the selection of winter wheat were made in the experimental crop rotation pattern of the Institute.


Author(s):  
John Hunsley ◽  
Eric J. Mash

Evidence-based assessment relies on research and theory to inform the selection of constructs to be assessed for a specific assessment purpose, the methods and measures to be used in the assessment, and the manner in which the assessment process unfolds. An evidence-based approach to clinical assessment necessitates the recognition that, even when evidence-based instruments are used, the assessment process is a decision-making task in which hypotheses must be iteratively formulated and tested. In this chapter, we review (a) the progress that has been made in developing an evidence-based approach to clinical assessment in the past decade and (b) the many challenges that lie ahead if clinical assessment is to be truly evidence-based.


Econometrica ◽  
2019 ◽  
Vol 87 (5) ◽  
pp. 1561-1588 ◽  
Author(s):  
Saumitra Jha ◽  
Moses Shayo

Can participation in financial markets lead individuals to reevaluate the costs of conflict, change their political attitudes, and even their votes? Prior to the 2015 Israeli elections, we randomly assigned Palestinian and Israeli financial assets to likely voters and incentivized them to actively trade for up to 7 weeks. No political messages or nonfinancial information were included. The treatment systematically shifted vote choices toward parties more supportive of the peace process. This effect is not due to a direct material incentive to vote a particular way. Rather, the treatment reduces opposition to concessions for peace and changes awareness of the broader economic risks of conflict. While participants who were assigned Palestinian assets are more likely to associate their assets' performance with peace, they are less engaged in the experiment. Combined with the superior performance of Israeli stocks during the study period, the ultimate effects of Israeli and Palestinian assets are similar.


Author(s):  
Maria Ciaramella ◽  
Nadia Monacelli ◽  
Livia Concetta Eugenia Cocimano

AbstractThis systematic review aimed to contribute to a better and more focused understanding of the link between the concept of resilience and psychosocial interventions in the migrant population. The research questions concerned the type of population involved, definition of resilience, methodological choices and which intervention programmes were targeted at migrants. In the 90 articles included, an heterogeneity in defining resilience or not well specified definition resulted. Different migratory experiences were not adequately considered in the selection of participants. Few resilience interventions on migrants were resulted. A lack of procedure’s descriptions that keep in account specific migrants’ life-experiences and efficacy’s measures were highlighted.


2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Daniela Woschnack ◽  
Stefanie Hiss ◽  
Sebastian Nagel ◽  
Bernd Teufel

Abstract This empirical study explores the financialization of social sustainability driven by sustainability accounting and reporting initiatives (SARIs). Since no globally accepted definition of what social sustainability encompasses exists, the paper asks how social sustainability is translated into the financial market language by SARIs as they provide standards for disclosing corporate non-financial performance and promote their concepts of social sustainability. The paper uses a two-step qualitative content analysis. First, it operationalizes social sustainability based on the empirical data of six sustainability rating agencies. Second, this operationalization is compared with the concepts created by three SARIs. The paper shows significant differences between the concepts of the SARIs and the rating agencies. While the rating agencies altogether interpret social sustainability with 83 distinct aspects, the SARIs, although differently created, use significant reduced concepts where 20% of these aspects are absent. The result of this financialization process could be a simplified and financially determined concept of social sustainability within die socially discourse. The research is limited to social sustainability and its financialization by SARIs. Individual indicators and their way or intensity to capture aspects of social sustainability were not part of the research interest. Further research should investigate the economic and the ecological pillars of sustainability as well as the usage of such financialized concepts within the society and especially by corporations. The paper unfolds the arbitrariness of operationalizing a qualitative phenomenon like social sustainability through the financial system. It discloses the need for looking at the mechanisms behind such processes and at the interests of the actors behind the frameworks. The paper reveals the financialization process driven by SARIs and demonstrates its simplifying effects on the concept of social sustainability. Furthermore, the paper shows that SARIs as metrics for non-financial aspects are troubled with a lack of transparency and a lack of convergence.


Children ◽  
2021 ◽  
Vol 8 (6) ◽  
pp. 525
Author(s):  
Emily von Scheven ◽  
Bhupinder K. Nahal ◽  
Rosa Kelekian ◽  
Christina Frenzel ◽  
Victoria Vanderpoel ◽  
...  

Promoting hope was identified in our prior work as the top priority research question among patients and caregivers with diverse childhood-onset chronic conditions. Here, we aimed to construct a conceptual model to guide future research studies of interventions to improve hope. We conducted eight monthly virtual focus groups and one virtual workshop with patients, caregivers, and researchers to explore key constructs to inform the model. Discussions were facilitated by Patient Co-Investigators. Participants developed a definition of hope and identified promotors and inhibitors that influence the experience of hope. We utilized qualitative methods to analyze findings and organize the promotors and inhibitors of hope within three strata of the socio-ecologic framework: structural, interpersonal, and intrapersonal. Participants identified three types of interventions to promote hope: resources, navigation, and activities to promote social connection. The hope conceptual model can be used to inform the selection of interventions to assess in future research studies aimed at improving hope and the specification of outcome measures to include in hope research studies. Inclusion of the health care system in the model provides direction for identifying strategies for improving the system and places responsibility on the system to do better to promote hope among young patients with chronic illness and their caregivers.


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