ARCA è l'archivio istituzionale ad accesso aperto della ricerca dell'Università Ca' Foscari Venezia e nasce nel 2014 con lo scopo di raccogliere, diffondere e conservare la produzione scientifica dell'Università. Costituisce di fatto il catalogo della ricerca di Ateneo.ARCA è un sistema Open Access: è non solo consultabile da tutti e visibile nei motori di ricerca, ma anche interoperabile con il portale cerCa. In questo modo vengono valorizzate la produzione scientifica dell'Ateneo e la visibilità dei ricercatori.
EnglishWe introduce a novel criterion for performance measure combination designed to be used as an equity screening algorithm. The proposed approach follows the general idea of linearly combining selected performance measures with positive weights and combination weights are determined by means of an optimisation step. The underlying criterion function takes into account the risk-return trade-off potentially associated with the equity screens, evaluated on a historical and rolling basis. By construction, performance combination weights can vary over time, allowing for changes in preferences across performance measures. An empirical example shows the benefits of our approach compared to naive screening rules based on the Sharpe ratio.
We introduce a novel criterion for performance measure combination designed to be used as an equity screening algorithm. The proposed approach follows the general idea of linearly combining selected performance measures with positive weights and combination weights are determined by means of an optimisation step. The underlying criterion function takes into account the risk-return trade-off potentially associated with the equity screens, evaluated on a historical and rolling basis. By construction, performance combination weights can vary over time, allowing for changes in preferences across performance measures. An empirical example shows the benefits of our approach compared to naive screening rules based on the Sharpe ratio. (C) 2015 Elsevier Inc. All rights reserved.
| Autori: | |
| Data di pubblicazione: | 2015 |
| Titolo: | Backward/forward optimal combination of performance measures for equity screening |
| Rivista: | THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.najef.2015.08.002 |
| Volume: | 34 |
| Appare nelle tipologie: | 2.1 Articolo su rivista |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| BillioCaporinCostolaNAJEF.pdf | Versione dell'editore | Accesso chiuso-personale | Open Access dal 31/05/2030 |
http://hdl.handle.net/10278/3663332
Copyright © 2021