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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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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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Reputation Performance: a portfolio selection approach [PDF]
, 2007 This paper introduces a normative view on corporate reputation management; an algorithmic model for reputation-driven strategic decision making is proposed and corporate reputation is conceptualized as influenced by a selection among organizational ...
Koronis, E., Andrikopoulos, A.
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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
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GELENEKSEL VE MODERN PORTFÖY YÖNETİMİNİN AMPİRİK SONUÇLARININ KARŞILAŞTIRILMASI: BİST UYGULAMASI
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2018 Bu çalışmada Markowitz’in ortaya koyduğu modern portföyteorisi (MPT) ile geleneksel portföy teorisi (GPT), sonuçları itibari ileampirik olarak Borsa İstanbul üzerinde incelenmiştir.
Devran Deniz, Hasan Aydın Okuyan
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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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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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KIYMETLİ MADENLERİN PORTFÖY ÇEŞİTLENDİRMESİNE KATKISI:BİST UYGULAMASI
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2018 Modern portföy teorisinin temelvarsayımı korelasyonu düşük varlıkların portföye dahil edilmesinin portföyriskini azaltacağıdır. Bu çalışmada öncelikle altının Türkiye piyasası hissesenedi portföylerine sağladığı çeşitlendirme katkısı araştırılmıştır ...
Devran Deniz +2 more
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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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