Mutual Fund Performance
1966/01/01 by William F. Sharpe · 3,874 citations
Business, Management and Accounting · #Business #Finance #Financial system #Mutual fund #Private Equity and Venture Capital #State Capitalism and Financial Governance
paper · doi:10.1086/294846
published in The Journal of Business 39(S1), 119 (University of Chicago Press)
openalex publication_date 1966/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Cited by
- Circle of Incompetence: Sense of Understanding as an Improper Guide to Investment Risk
- Derivatives Use and Risk Taking: Evidence from the Hedge Fund Industry
- A Three-Phase Foundation Model for Tax-Aware Personalized Portfolio Management
- Impact of Expert-Following Strategies in Financial Asset Recommendation
- Diversification effects of China's carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach
- Variational Quantum Eigensolver for Real-World Finance: Scalable Solutions for Dynamic Portfolio Optimization Problems
- A Tutorial on Dimensionless Learning: Geometric Interpretation and the Effect of Noise
- From Text to Returns: Using Large Language Models for Mutual Fund Portfolio Optimization and Risk-Adjusted Allocation
- Sharpe-Driven Stock Selection and Liquidiy-Constrained Portfolio Optimization: Evidence from the Chinese Equity Market
- Levy-stable scaling of risk and performance functionals
- Learning to Manage Investment Portfolios beyond Simple Utility Functions
- A decision support system for stock investment recommendations using collective wisdom
- Cryptocurrency as an Investable Asset Class: Coming of Age
- When Agents Trade: Live Multi-Market Trading Benchmark for LLM Agents
- Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging
- Epoch-Based Application of Problem-Aware Operators in a Multiobjective Memetic Algorithm for Portfolio Optimization
- Rethinking currency factors: The case for mean-variance optimisation
- Mean-tail Gini framework for optimal portfolio selection
- RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets
- A Case for AXI
- Sharpe Ratio Optimization in Markov Decision Processes
- Robust MCVaR Portfolio Optimization with Ellipsoidal Support and Reproducing Kernel Hilbert Space-based Uncertainty
- Linear Trading Position with Sparse Spectrum
- Learning to trade via direct reinforcement
- Managerial quality and the structure of management expenses in the US mutual fund industry
- Liberata -- Graph Scientometrics for a Share Based System of Academic Publishing
- The Capital Asset Pricing Model
- Structure-aware Semantic Discrepancy and Consistency for 3D Medical Image Self-supervised Learning
- Persistent corruption and parliamentary private-sector work experience
- A Risk-Aware Reinforcement Learning Reward for Financial Trading
- Doubly-Robust Estimation of Counterfactual Policy Mean Embeddings
- Hybrid Models for Financial Forecasting: Combining Econometric, Machine Learning, and Deep Learning Models
- Estimation of portfolio efficiency via DEA
- The financial performance of the FTSE4Good indices
- Portfolio Optimization Through Elastic Maps: Some Evidence from the Italian Stock Exchange
- Portfolio Optimization and Tail-Risk Analytics of Actively Managed ETFs
- Quantifying the Risk-Return Tradeoff in Forecasting
- Optimal vs naïve diversification in cryptocurrencies
- AlgoXpert Alpha Research Framework. A Rigorous IS WFA OOS Protocol for Mitigating Overfitting in Quantitative Strategies
- Quantum-Assisted Optimal Rebalancing with Uncorrelated Asset Selection for Algorithmic Trading Walk-Forward QUBO Scheduling via QAOA
- Post Selection Estimation of Sharpe Ratios
- Probabilistic Forecasting for Day-ahead Electricity Prices, Battery Trading Strategies and the Economic Evaluation of Predictive Accuracy
- ‘Benchmarking’ the benchmarks: How do risk-adjusted returns of Australian mutual funds and indexes measure up?
- Forecasting Tangency Portfolios and Investing in the Minimum Euclidean Distance Portfolio to Maximize Out-of-Sample Sharpe Ratios
- Asset allocation using a Markov process of clustered efficient frontier coefficients states
- The GT-Score: A Robust Objective Function for Reducing Overfitting in Data-Driven Trading Strategies
- DeePM: Regime-Robust Deep Learning for Systematic Macro Portfolio Management
- From the Diebold-Yilmaz approach to portfolio strategies: Diversification benefits of the Macedonian stock exchange index across SEE, Global, and alternative markets
- Reverse quantum annealing approach to portfolio optimization problems
- The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility
- THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964
- Portfolio optimization in the era of digital financialization using cryptocurrencies. [europepmc]
- Dealing with Bad Risk in Cost-Effectiveness Analysis: The Cost-Effectiveness Risk-Aversion Curve. [europepmc]
- Classical-Equivalent Bayesian Portfolio Optimization for Electricity Generation Planning. [europepmc]
- Adjusted Empirical Likelihood Method in the Presence of Nuisance Parameters with Application to the Sharpe Ratio. [europepmc]
- Between Nonlinearities, Complexity, and Noises: An Application on Portfolio Selection Using Kernel Principal Component Analysis. [europepmc]
- Portfolio Optimization for Binary Options Based on Relative Entropy. [europepmc]
- Market instability and the size-variance relationship. [europepmc]
- Detecting and Analyzing Politically-Themed Stocks Using Text Mining Techniques and Transfer Entropy-Focus on the Republic of Korea's Case. [europepmc]
- Modeling asset allocations and a new portfolio performance score. [europepmc]
- LSTM-DDPG for Trading with Variable Positions. [europepmc]
- Portfolio optimization of financial commodities with energy futures. [europepmc]
- Two robust long short-term memory frameworks for trading stocks. [europepmc]
- Cost‑Effectiveness Risk‑Aversion Curves: Comparison of Risk-Adjusted Performance Measures and Expected-Utility Approaches. [europepmc]
- Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak. [europepmc]
- For whom does it pay to be a moral capitalist? Sustainability of corporate financial performance of ESG investment. [europepmc]
- Collective Dynamics, Diversification and Optimal Portfolio Construction for Cryptocurrencies. [europepmc]
- Management of investment portfolios employing reinforcement learning. [europepmc]
- A study of hybrid deep learning model for stock asset management. [europepmc]
- Multi-Sensor Temporal Fusion Transformer for Stock Performance Prediction: An Adaptive Sharpe Ratio Approach. [europepmc]
- An Automated Decision Support System for Portfolio Allocation Based on Mutual Information and Financial Criteria. [europepmc]
- An appraisal of fund of funds efficiency based on risk-adjusted performance measures: Application of an augmented WASPAS methodology. [europepmc]
- Artificial intelligence for algorithmic trading digital assets: evidence from the Counter-Strike 2 skin market. [europepmc]
- Techniques for mitigating overfitting in machine learning: a comprehensive review, taxonomy, and practical guide. [europepmc]
- Technological, healthcare and consumer funds efficiency: influence of COVID-19 [europepmc]
- An exploration of the mathematical structure and behavioural biases of 21st century financial crises [europepmc]