Tikrit Journal of Administrative and Economic Sciencesتهدف هذه الدراسة إلى بناء وتقييم المحفظة باستخدام انموذج (Shape Model-Sortino Ratio) وتحليل تأثيرهما في تقليل المخاطر المالية لعينة من عشر شركات في سوق الأسهم السعودي، بناءً على بيانات شهرية من الفترة من عام 2019 إلـى عـام 2023، استخـدمت ...
Mahdi Saleh Mahdi, Ahmed khudhair ahmed
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A novel portfolio construction strategy based on the core- periphery profile of stocks [PDF]
Scientific ReportsThis paper highlights the significance of mesoscale structures, particularly the core-periphery structure, in financial networks for portfolio optimization.
Imran Ansari +3 more
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Jurnal Fourier, 2016 Banyaknya jenis saham-saham yang ditawarkan di pasar modal mengakibatkan investor harus berhati-hati dalam menentukan saham yang akan dibelinya, karena setiap saham yang ditawarkan selalu mempunyai risiko disamping menjanjikan return.
Indah Puspita Sari +1 more
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Application of Multi-Period Low Partial Moment Approach to Investment Portfolio Optimization and Impact of Different Moments on Portfolio Performance [PDF]
فصلنامه بورس اوراق بهادار, 2022 The present study aimed to present a model to choose the optimum multi-period investment portfolio with attitude toward lower partial moment as a measure of risk.
Seyed Reza Miraskari +1 more
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Investigating the Efficiency of the 1/N Model in Portfolio Selection [PDF]
تحقیقات مالی, 2021 Objective: Since Markowitz's (1952) pioneering work on a single-period investment model, mean-variance portfolio optimization problem has become a cornerstone of investment management in both academic and industrial fields.
Reza Raei, Saeed Bajalan, Alireza Ajam
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Ranking Mutual Funds Performance Based on Post-modern Portfolio Theory Indicators Using Multi-Criteria Decision-Making Methods [PDF]
International Journal of Management, Accounting and Economics, 2021 Performance appraisal refers to the process of performance measurement, assessment, valuation, and judgement over time. Performance ranking based on several criteria of different values is possible only when multi-criteria decision models are adopted. In
Nesa Moradpour
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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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Smart Robotic Strategies and Advice for Stock Trading Using Deep Transformer Reinforcement Learning
Applied Sciences, 2022 The many success stories of reinforcement learning (RL) and deep learning (DL) techniques have raised interest in their use for detecting patterns and generating constant profits from financial markets.
Nadeem Malibari +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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Does Voracious Behavior favor Efficient Market Hypothesis? Role of Performance Measures
Scientific Annals of Economics and Business, 2022 Greed plays an important in the fluctuations of stock prices because investors want profits irrespective of the risk taken by them. This study aims to determine, whether, in times of rising trends in the market, greediness is good for the investor or not.
Attayah Shafique +3 more
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