CONSTRUCTION OF INVESTMENT RISK MEASURE

377CHAPTER22Risk-Adjusted Returns of CTAs:Using the Modified Sharpe RatioRobert Christopherson and Greg N. Gregoriou Many institutional investors use the traditional Sharpe ratio to examinethe risk-adjusted performance of CTAs. However, this could pose prob-lems due to th[r]

CSSF Regulation No10-4CSSF Regulation No10-5Level 3 guidelines• ESMA Guidelines 09/178 as regards risk management principles for UCITS• ESMA Guidelines 10/673 on the methodology of the calculation of the SRRI in the KID• ESMA Guidelines 10/788 on risk measurement and c[r]

difference between these events is in the time of the action and in whether or not there has been a sudden release of energy [17]. While in unsafe acts and conditions, the situation of risk arises from a continuous action or is latent in the environment (for example, an e[r]

portfolio management activities, OFS employs a mix of dedicated professionals and external asset managers. These external asset managers provide market specific information such as market prices and valuations as well as detailed credit analysis using public information on a periodic basis.[r]

nation’seconomy, it contributes to the balanced development of nationalindustries and other sectors. Bank credit also brings major source of incomefor commercial banks. However, bank credit activity contains most of theserious risks and consequences.The operation of the b[r]

portfolio management activities, OFS employs a mix of dedicated professionals and external asset managers. These external asset managers provide market specific information such as market prices and valuations as well as detailed credit analysis using public information on a periodic basis.[r]

8Korea Smart Grid Institute website “Jeju Test-bed Budget and Consortium”. Available from www.smartgrid.or.kr/10eng3-5.php (accessed30 September 2011).91011McDonald op. cit.McDonald op. cit.Julie Wernau, “South Korea Launches Energy Savings Project in Chicago,” The Chicago Tribune, July 21, 2010. Av[r]

the agricultural sector. Besides financing, these actors bring along renewed business logics, modes of actions and regulations, stemming from other sectors. As such, a restructuring of the sector is taking place which is redefining the borders of the agricultural sector. The inc[r]

ing, based on readily available public information,should not be judged to have superior perform-ance. CPE is therefore consistent with a versionof market efficiency, in the semi-strong formsense of Fama (1970).In the CPE approach a fund’s return is com-pared with a benchmark strategy that at[r]

assumptions are relaxed.These extensions include:1. Allowing more activities and constraints2. Recognizing indivisible investments3. Allowing inter-year resource borrowings and transfers4. Recognizing interdependent projects5. Treating mutually exclusive investments6. Recognizing threshold investmen[r]

The contribution of the community from the understanding of the situation, propagating and disseminating knowledge, planning appropriate investment, construction, production, and contributing or providing solutions to solve problems pollution is an important goal of coming up with the root of the pr[r]

A great portion of this text (Chapters 1—7) is devoted to a systematicexposition of the topic of stochastic dominance, emphasizing rigor andgenerality. The other portion of the text (Chapters 8—10) reports somenew applications of stochastic dominance in finance,