Results 1 to 10 of about 3,671,092 (264)
Assets performance evaluation with the use of returns distribution characteristics [PDF]
تصمیم گیری و تحقیق در عملیات, 2023 Purpose: Portfolio optimization is a selection of assets with the lowest risk and highest return. Asset performance evaluation is a useful way to choose assets and construct a profitable portfolio.
Seyedeh Masoumeh Mirsadeghpour Zoghi +4 more
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Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index [PDF]
Ekonomi dan Bisnis, 2021 Penelitian ini adalah penelitian deskriptif kuantitatif yang bertujuan untuk mengetahui komposisi portofolio optimal pada saham-saham yang konsisten terdaftar di Jakarta Islamic Index (JII) dari periode 2018 – November 2020.
Irsyaad Rachmatullah +2 more
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Asian Management and Business Review, 2021 This study aims to compare the performance of the Islamic stock index in Malaysia and Indonesia using the Sharpe, Treynor and Jensen methods. The findings in this study are the performance of Sharia JII and FBMS stocks in 2014-2019, it can be concluded ...
Jeihan Ali Azhar, Resti Wulandari
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How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast
Financial Innovation, 2020 This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is
Lin Liu, Qiguang Chen
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Evaluating the Effectiveness of the Momentum Strategy for Responsible Investment in the Russian Stock Market [PDF]
SHS Web of Conferences, 2021 In modern conditions, the integration of ESG-criteria into investment decisions of asset managers is considered as a key factor in sustainable economic development. We examine the effectiveness of the Momentum-ESG strategy based on the Responsibility and
Ovechkin Danila +2 more
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PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018
Journal of Management and Entrepreneurship Research, 2020 Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio.
Happy Catherine, Robiyanto Robiyanto
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Performance Evaluation of Stock Price Indexes in the Indonesia Stock Exchange
International Research Journal of Business Studies, 2018 This study evaluates the performance of stock price indexes in the Indonesia Stock Exchange by using Sharpe Index, Treynor Ratio, Jensen Alpha, Adjusted Sharpe Index, Adjusted Jensen Index and Sortino Ratio.
Robiyanto
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Two-Stage Portfolio Optimization Integrating Optimal Sharp Ratio Measure and Ensemble Learning
IEEE Access, 2023 The traditional portfolio theory has relied heavily on historical asset returns while ignoring future information. Based on ensemble learning and maximum Sharpe ratio portfolio theory, this paper proposes a two-stage portfolio optimization method by ...
Zhongbao Zhou +3 more
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Jurnal Akuntansi, 2020 Stocks as an investment instrument that categorized as a high risk dan high return instrument. Therefore, investors should distributed their invesment funds in a number of shares by forming an optimal portfolio where the highest return is obtain at a ...
Dini Iskandar +2 more
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A proposal for measuring efficiency losses of asset management companies: Frontier-based approach
Borsa Istanbul Review, 2022 The performance of funds by asset management companies needs to be based on an objective benchmark. Studies related to the topic focus on measuring performance using a discrete form that cannot capture precise total efficiency losses.
Hakan Aygören +2 more
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