Results 21 to 30 of about 6,534 (244)
Performances of Sharia Mutual Funds in Indonesia: Empirical Evidence from a Developing Economy
European Journal of Islamic Finance, 2021 This study aims to analyze the efficiency of sharia mutual funds, especially in the sharia mutual funds on stocks, money market, fixed income, and mixed funds.
Helmi Muhammad +2 more
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Complexity, 2023 This paper addresses a method to solve a multi-period portfolio selection on the stock market. The portfolio problem seeks an investor to trade stocks with a finite budget and a given integer number of stocks to hold in a portfolio.
Luis Aburto +3 more
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Using Trend Ratio and GNQTS to Assess Portfolio Performance in the U.S. Stock Market
IEEE Access, 2021 Stock selection is an important issue in the stock market, and when assessing portfolio performance, return and risk are important conditions. The Sharpe ratio is a well-known assessment strategy that simultaneously considers portfolio return and risk ...
Yao-Hsin Chou +3 more
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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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Is New Ibovespa The Best Investment Option? [PDF]
Revista Brasileira de Gestão De Negócios, 2016 Purpose – Verify whether Ibovespa, Old or New, could be the best alternative for investors, considering investment possibilities (risky and risk free) in the Brazilian market.
Ricardo Goulart Serra ¹ ² +1 more
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Portfolio Diversification Based on Clustering Analysis [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2023 Forming an investment portfolio is one of the main concerns of managers and investors who strive in order to create the best investment portfolio to get the best return from the market.
Marziyeh Nourahmadi, Hojjatollah Sadeqi
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Application of Performance Ratios in Portfolio Optimization
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015 The cornerstone of modern portfolio theory was established by pioneer work of Harry Markowitz. Based on his mean-variance framework, Sharpe formulated his well-known Sharpe ratio aiming to measure the performance of mutual funds.
Aleš Kresta
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Adjusted Sharpe Ratio: Some Caveats
, 2020 Researchers and investors are concerned with the shortcomings of various measures of portfolio management performances, among them the famous Sharpe ratio.
Maillard, Didier
core +1 more source
Active Set Approach for a Bilevel Portfolio Optimization Model [PDF]
International Journal of Mathematical, Engineering and Management SciencesThis paper presents a methodology for determining the optimal portfolio that maximizes the Sharpe ratio within a bilevel framework. The upper-level of the model maximizes the Sharpe ratio of the portfolio, while the lower-level minimizes the risk for a ...
Bhuvnesh Khatana , Geetanjali Panda
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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
doaj +1 more source