Results 1 to 10 of about 134 (98)

بناء المحفظة المثلى باستخدام أنموذجي (Shape Model-Sortino Ratio) دراسة تطبيقية لعدد من الشركات لسوق الأسهم السعودي

Tikrit Journal of Administrative and Economic Sciences
          تهدف 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
exaly   +4 more sources

Analisis Kinerja Portofolio Optimal Constant Correlation Model Pada Saham Syari’ah Dengan Menggunakan Metode Sortino, Treynor Ratio Dan M2

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, Mohammad Farhan Qudratullah   +1 more
doaj   +3 more sources

USING SORTINO RATIO FOR MEASURING RISK: A CASE STUDY OF HDFC MUTUAL FUND

EPRA International Journal of Economic and Business Review
We examine the performance of a sample of funds of HDFC Mutal Fund which is the largest private sector mutual fund in India. We examine a very popular risk adjusted metric used to evaluate the performance of mutual funds. This metric typically measures only the downside risk and is called the Sortino ratio.
Vandana Gupta
exaly   +2 more sources

Performance of Listed State-owned Enterprises using Sortino Ratio Optimization

Journal of Applied Sciences, 2011
Chun-Teck Lye
exaly   +2 more sources

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, Hamid Hosseini Nesaz   +1 more
doaj   +1 more source

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
doaj   +1 more source

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
doaj   +1 more source

Comparative Analysis of Sharpe and Sortino Ratio with reference to Top Ten Banking and Finance Sector Mutual Funds

International Journal of Management Studies, 2018
Syed Shahid Mazhar
exaly   +2 more sources

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
doaj   +1 more source

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, Iyad Katib, Rashid Mehmood   +2 more
doaj   +1 more source