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- W3126086765 abstract "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 existing performance measures with positive weights and the combination weights are determined by means of an optimisation problem. 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 or our approach compared to naive screening rules based on the Sharpe ratio." @default.
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- W3126086765 date "2012-01-01" @default.
- W3126086765 modified "2023-09-28" @default.
- W3126086765 title "Backward/Forward Optimal Combination of Performance Measures for Equity Screening" @default.
- W3126086765 doi "https://doi.org/10.2139/ssrn.2118576" @default.
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