...Jaesung James Park; Jonghyun Moon; HyeIn Yu; Hyomin Lee; Hyebin Jeong; Minseo Choi; Hyeseong Hwang We develop a Sharpe ratio–maximizing decision framework for environments in which binary approval rules endogenously determine the investable set. In conventional portfolio theory, investors optimize...

... confirm the expansion of the efficient frontier and the improvement of Sharpe ratio. We believe that our results provide an applicability research of smart beta strategy and new benchmark based on such strategy. We expect our research to be used as preliminary study to overcome the era of “new normal...

...Jangkoo Kang; Jah Yeun Wang; Changjun Lee This study examines how commodity assets affect investors. Our main findings can be summarized as follows. First, the Sharpe ratio of commodity indexes is higher than that of stocks and bonds over the last ten years. Second, commodity (traditional) assets...