Results 21 to 30 of about 15,467 (237)
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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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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Word Portfolio Optimization in the Environment of Zero Interest Rate
Ekonomika, 2021 This paper provides a deep analysis of ten globally diversified portfolios, composed of different financial instruments: bonds, shares, ETF’s, commodities, indexes, currencies, constructed applying various optimization techniques.
Darja Demcenko
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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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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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The Impact of Downside Risk on Performance Appraisal of Investment Companies in the Tehran Stock Exchange(TSE). [PDF]
تحقیقات مالی, 2007 Many performance measures, such as the classical Sharpe ratio have difficulty in evaluating the performance of investment companies whose return distributions are skewed.
حسین عبده تبریزی +1 more
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SAIPO-TAIPO and Genetic Algorithms for Investment Portfolios
Axioms, 2022 The classic model of Markowitz for designing investment portfolios is an optimization problem with two objectives: maximize returns and minimize risk. Various alternatives and improvements have been proposed by different authors, who have contributed to ...
Juan Frausto Solis +4 more
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