Double-sided balanced conditional Sharpe ratio

Artikel

The purpose of this study was to investigate the behavior of various indices of Tehran Stock Exchange firstly in the boom period from 2018-03-21 to 2018-11-02 and secondly in the recession period from 2016-03-20 to 2016-12-20 using double-sided balanced conditional Sharpe ratio. The results of this study showed the best performance for the insurance index with a double-sided balanced conditional Sharpe ratio of 0.123 and later for the metallic minerals index with a measure of 0.1215. Moreover, on the basis of the double-sided balanced conditional Sharpe ratio, the food except for sugar index with a measure of 0.035 showed the worst performance.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-17 ; Abingdon: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions
• Subject: boom ; double-sided balanced conditional Sharpe ratio ; recession

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Tajdini, Saeid ; Mehrara, Mohsen ; Tehrani, Reza
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2019

Further information

• DOI: doi:10.1080/23322039.2019.1630931
• Handle: http://hdl.handle.net/10419/245258
• Last update: 10.03.2025, 11:42 AM CET