We propose a performance measure that generalizes the Sharpe ratio. The new
performance measure is monotone with respect to stochastic dominance and consistently …

We find economically and statistically significant gains when using machine learning for
portfolio allocation between the market index and risk-free asset. Optimal portfolio rules for …

We establish the out-of-sample predictability of monthly exchange rate changes via machine
learning techniques based on 70 predictors capturing country characteristics, global …

The Sharpe ratio is the most widely used metric for comparing theperformance of financial
assets. The Markowitz portfolio is the portfolio withthe highest Sharpe ratio. The Sharpe …

Generating a high positive excess return in a prospective period does not necessarily
increase the empirical Sharpe ratio of an investment fund. Therefore, we derive a critical …

Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset
management to compare and benchmark funds and asset managers. It computes the ratio of …

We establish the out-of-sample predictability of monthly exchange rates via machine
learning based on 70 predictors capturing country characteristics, global variables, and their …

We investigate the use of the normalized imbalance between option volumes corresponding
to positive and negative market views, as a predictor for directional price movements in the …

We apply the Atkinson (1970) inequality index to time series of asset returns to offer a novel
measure of financial risk consistent with expected-utility theory. This measure is converted to …

We examine performance measures for high yield bond mutual funds, which are a
considerable percentage of taxable bond investments, but have not been widely studied …