Results 11 to 20 of about 566,258 (283)
The expected sharpe ratio of efficient portfolios under estimation errors
Cogent Economics & Finance, 2021 This paper aims to develop a feasible estimator of the Sharpe ratio that the investor would expect from estimated efficient portfolios. Based on the analytical expression of the expected Sharpe ratio, we construct an estimator that captures all the ...
Bacem Benjlijel, Hatem Mansali
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Optimal Portfolio Allocation with Elliptical and Mixed Copulas
Istanbul Business Research, 2023 This research aims to investigate the asset allocation performance of three different optimization methods commonly applied in the literature for a portfolio composed of univariate returns generated from Mixed and Elliptic copulas instead of historical ...
Cemile Özgür, Vedat Sarıkovanlık
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Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index [PDF]
Ekonomi dan Bisnis, 2021 This research is a quantitative descriptive study which aims to determine the optimal portfolio composition of stocks that are consistently listed on the Jakarta Islamic Index (JII) from the 2018 – November 2020 period.
Irsyaad Rachmatullah +2 more
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Portfolio performance under tracking error and benchmark volatility constraints [PDF]
Journal of Economics Finance and Administrative Science, 2021 Purpose - Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in both high volatility period (HV ...
Jan Frederick Hausner, Gary van Vuuren
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Investigating the Performance of Portfolio Insurance Strategies under a Regime Switching Markov Model in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2021 Objective: Portfolio insurance strategies are structural methods that provide a certain level of certainty by setting a floor value. In other words, using these strategies can achieve a predetermined minimum return.
Peyman Alipour +2 more
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A Combined AHP-PROMETHEE Approach for Portfolio Performance Comparison
International Journal of Financial Studies, 2023 Comparing portfolio performance is complex due to the fact that each model is dominant in its own risk space. Since there is no single dominant performance measure, the research problem is how to incorporate several different measures into a performance ...
Mirza Sikalo +2 more
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The Appeal of Risky Assets [PDF]
, 2010 A fund's performance is usually compared to the performance of an index or other funds. If a fund trails the benchmark, the fund manager is often replaced.
Stolper, Anno
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GUARANTEE PRODUCT PORTFOLIO: PERFORMANCE AND OPTIMAL PORTFOLIO ANALYSIS [PDF]
JIMFE (Jurnal Ilmiah Manajemen Fakultas Ekonomi), 2020 This study aims to analyze the performance of guarantee products and optimize guarantee portfolio at PT Penjaminan ABC. The method used in forming the optimal guarantee portfolio is the Markowitz method and the single index model. The results of the formation of optimal portfolios based on the Markowitz method show that there are five eligible ...
Santosa Santosa +2 more
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Enhanced Portfolio Performance Using a Momentum Approach to Annual Rebalancing
International Journal of Financial Studies, 2018 After diversification, periodic portfolio rebalancing has become one of the most widely practiced methods for reducing portfolio risk and enhancing returns.
Michael D. Mattei
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Investigating the Efficiency of the 1/N Model in Portfolio Selection [PDF]
تحقیقات مالی, 2021 Objective: Since Markowitz's (1952) pioneering work on a single-period investment model, mean-variance portfolio optimization problem has become a cornerstone of investment management in both academic and industrial fields.
Reza Raei, Saeed Bajalan, Alireza Ajam
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