Double-sided balanced conditional Sharpe ratio
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2019-01-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2019.1630931 |
| _version_ | 1818923759869886464 |
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| author | Saeid Tajdini Mohsen Mehrara Reza Tehrani |
| author_facet | Saeid Tajdini Mohsen Mehrara Reza Tehrani |
| author_sort | Saeid Tajdini |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-20T02:14:33Z |
| format | Article |
| id | doaj.art-fdc17b824f5e4e44a197799a8921648e |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-20T02:14:33Z |
| publishDate | 2019-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-fdc17b824f5e4e44a197799a8921648e2022-12-21T19:56:59ZengTaylor & Francis GroupCogent Economics & Finance2332-20392019-01-017110.1080/23322039.2019.16309311630931Double-sided balanced conditional Sharpe ratioSaeid Tajdini0Mohsen Mehrara1Reza Tehrani2University of TehranUniversity of TehranUniversity of TehranThe 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.http://dx.doi.org/10.1080/23322039.2019.1630931boomdouble-sided balanced conditional sharpe ratiorecession |
| spellingShingle | Saeid Tajdini Mohsen Mehrara Reza Tehrani Double-sided balanced conditional Sharpe ratio Cogent Economics & Finance boom double-sided balanced conditional sharpe ratio recession |
| title | Double-sided balanced conditional Sharpe ratio |
| title_full | Double-sided balanced conditional Sharpe ratio |
| title_fullStr | Double-sided balanced conditional Sharpe ratio |
| title_full_unstemmed | Double-sided balanced conditional Sharpe ratio |
| title_short | Double-sided balanced conditional Sharpe ratio |
| title_sort | double sided balanced conditional sharpe ratio |
| topic | boom double-sided balanced conditional sharpe ratio recession |
| url | http://dx.doi.org/10.1080/23322039.2019.1630931 |
| work_keys_str_mv | AT saeidtajdini doublesidedbalancedconditionalsharperatio AT mohsenmehrara doublesidedbalancedconditionalsharperatio AT rezatehrani doublesidedbalancedconditionalsharperatio |