Results 11 to 20 of about 8,661,659 (256)
Robust optimisation and its application to portfolio planning [PDF]
, 2009 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Decision making under uncertainty presents major challenges from both modelling and solution methods perspectives.
Gregory, Christine
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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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Performance Attribution for Equity Portfolios [PDF]
The R Journal, 2013 Many portfolio managers measure performance with reference to a benchmark. The difference in return between a portfolio and its benchmark is the active return of the portfolio. Portfolio managers and their clients want to know what caused this active return. Performance attribution decomposes the active return.
Lu, Yang, Kane, David
openaire +2 more sources
International Journal of Financial Studies, 2023 The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market.
Mohammad Sharik Essa, Evangelos Giouvris
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International Journal of Financial Studies, 2023 In recent years, a great deal of attention has been devoted to the use of neural networks in portfolio management, particularly in the prediction of stock prices. Building a more profitable portfolio with less risk has always been a challenging task.
Abdellilah Nafia +2 more
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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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Optimalisasi Portofolio Nilai Saham: Studi Komparasi Kinerja Saham Syariah dan Nonsyariah
Economica: Jurnal Ekonomi Islam, 2017 The objective of this research is to analyze the comparison of sharia and nonsharia stock performance. The sample is a company listed on the Indonesia Stock Exchange, listing from 2013-2017. The sample consists of nonsharia stock (LQ45) and sharia stock (
Ferry Khusnul Mubarok +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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The effect of emotional intelligence on the investor portfolio performance [PDF]
پژوهشهای حسابداری و حسابرسی عملیاتی و عملکرد, 2017 Successful investment requires analytical skills, intelligence and emotional control.The purpose of this study was to investigate the effect of emotional intelligence on stock portfolio performance of the investor.
Mahmoud Lari Dashtbayaz +2 more
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