Search results for "risk-adjusted performance"

showing 3 items of 3 documents

The Investment Performance of U.S. Islamic Mutual Funds

2020

Islamic investment funds have become increasingly important because of high demand from many investors, including those outside the Muslim investment community. This article compares the performance and risk sensitivity of Islamic mutual funds in the United States with that of their conventional peers. This article also analyzes the performance of Islamic funds, and compares this performance with that of socially responsible investment (SRI) mutual funds. Capital Asset Pricing Model (CAPM)-based methodology was used for the analysis. The results suggest that over the entire study period (1987&ndash

ethical investinglcsh:TJ807-830Geography Planning and Developmentlcsh:Renewable energy sourcesMonetary economicsManagement Monitoring Policy and Law:CIENCIAS ECONÓMICAS [UNESCO]Socially responsible investment0502 economics and businessEconomicsCapital asset pricing model050207 economicsInvestment performancelcsh:Environmental scienceslcsh:GE1-350050208 financeRenewable Energy Sustainability and the Environmentlcsh:Environmental effects of industries and plants05 social sciencesUNESCO::CIENCIAS ECONÓMICASIslamBuilding and Constructionislamic mutual fundsInvestment (macroeconomics)performance evaluationrisk-adjusted performancelcsh:TD194-195socially responsible investmentsSustainability
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Mean‐Variance Portfolio Optimization

2010

Modigliani risk-adjusted performanceFinancial economicsDiversification (finance)EconomicsMean variancePost-modern portfolio theoryPortfolio optimizationModern portfolio theoryPractical Financial Optimization
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Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance

2009

The main purpose of this paper is to present a theoretically sound portfolio performance measure that takes into account higher moments of the distribution of returns. First, we perform a study of the investor's preferences to higher moments of distribution within expected utility theory and discuss the performance measurement. To illustrate the investor's preferences to higher moments and the computation of a performance measure, we provide an approximation analysis of the optimal capital allocation problem and derive a formula for the Sharpe ratio adjusted for skewness of distribution. This performance measure justifies the notion of the Generalized Sharpe Ratio (GSR) introduced by Hodges…

Economics and EconometricsSharpe ratioNonparametric statisticsVariance (accounting)Measure (mathematics)Normal-inverse Gaussian distributionModigliani risk-adjusted performanceSkewnessComputer Science::Computational Engineering Finance and ScienceEconomicsKurtosisEconometricsPortfolioFinanceExpected utility hypothesisMathematicsParametric statisticsJournal of Banking & Finance
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