Results 71 to 80 of about 131,433 (278)

Inconsistency of the Capital Asset Pricing Model in a Multi‐Currency Environment

International Journal of Finance &Economics, EarlyView.
ABSTRACT The capital asset pricing model (CAPM) is a widely adopted model in asset pricing theory and portfolio construction because of its intuitive nature. One of its main conclusions is that there exists a global market portfolio that each rational investor should hold in proportion to the risk‐free asset. In this paper, we demonstrate theoretically
Khalifa Al‐Thani, Domenico Mignacca, Gianluca Fusai, Fabio Caccioli, Guido Germano   +4 more
wiley   +1 more source

Sharp Lipschitz Constants for the Distance Ratio Metric [PDF]

MATHEMATICA SCANDINAVICA, 2015
We study expansion/contraction properties of some common classes of mappings of the Euclidean space $\mathsf{R}^n$, $n\ge 2$, with respect to the distance ratio metric. The first main case is the behavior of Möbius transformations of the unit ball in $\mathsf{R}^n$ onto itself.
Simic, S, Vuorinen, M, Wang, GD
openaire   +3 more sources

Kryptonite for Cryptocurrencies? What Are the Effects of Regulatory Controls on Bitcoin Returns and Volatility?

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper examines the impact of regulatory controls on Bitcoin's excess returns and volatility. The paper innovates by proxying changes in the regulatory environment using global Google search volume intensity data. The generated regulatory indices accurately identify episodes of regulatory tightening within cryptocurrency markets.
Robert Mullings
wiley   +1 more source

Investment portfolio optimization with supervised learning and attention mechanism

Egyptian Informatics Journal
Portfolio optimization is a process that involves distribution of capital with the purpose of maximizing returns and at the same time minimizing risks.
Zetao Yan
doaj   +1 more source

Diversifying Environmental, Social and Governance Portfolios: Evidence From China

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study extends traditional portfolio optimization methods by incorporating Environmental, Social and Governance (ESG) performance measures into diversification strategies, specifically focusing on data from the Chinese stock market. By integrating ESG scores and their constituent components (E, S and G), the study examines portfolio ...
Danyang Li, Yating Li, Charalampos Stasinakis, Yang Zhao   +3 more
wiley   +1 more source

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
doaj   +1 more source

Sharpe-Ratio Related Portfolio Selection

BCP Business & Management, 2022
This article investigates the criteria that individual investors should consider within the Sharpe Ratio perspective. Based on risk, return, and correlation, this research used Excel program to find the optimal portfolio and efficient frontier which offer the highest expected return for a defined level of risk or the lowest risk for a given level of ...
openaire   +1 more source

Doubtful Receivables' Risk and Its Impact on Stock Returns

Journal of Corporate Accounting &Finance, EarlyView.
ABSTRACT The current research proposes a previously unknown source of risk in relation to companies’ doubtful receivables. Higher relative doubtful receivables present a risk for companies' future cash flows. Hence, the article discusses an innovative risk measure associated with companies’ doubtful receivables.
Roi D. Taussig
wiley   +1 more source

Measuring the Performance of Leveraged and Non‑Leveraged ETF’s

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018
This paper deals with exchange traded funds (ETFs) and valuation it’s performance according to selected indicators. For empirical analysis 10 leveraged and non‑leveraged ETFs listed on US market is chosen according to selected criterias (adequate history
Martin Širůček, Václav Ruml, Petr Strejček   +2 more
doaj   +1 more source

The use of the bootstrap method for the assessment of investment effectiveness and risk – the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Journal of Banking and Financial Economics, 2020
This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk.
Jarno Klaudia, Smaga Łukasz
doaj   +1 more source