Ruch Prawniczy, Ekonomiczny i Socjologiczny, 2016 W artykule przeprowadzono badanie ilościowe na danych z lat 2007-2015, które miało na celu ocenę celowości wykorzystania instrumentów pochodnych w kontekście podwyższania stopy zwrotu i obniżania ryzyka portfeli akcji notowanych na Giełdzie Papierów ...
Marcin Flotyński
doaj +1 more source
The impact of downside risk on risk-adjusted performance of mutual funds in the Euronext markets [PDF]
Many performance measures, such as the classic Sharpe ratio have difficulty in evaluating the performance of mutual funds with skewed return distributions.
Auke Plantinga +2 more
core
Portfolio Selection under Systemic Risk
Journal of Money, Credit and Banking, Volume 57, Issue 4, Page 905-949, June 2025.Abstract This paper proposes a modified Sharpe ratio to construct optimal portfolios under systemic events. The portfolio allocation problem is solved analytically under the absence of short‐selling restrictions and numerically when short‐selling restrictions are imposed.
WEIDONG LIN +2 more
wiley +1 more source
Post-modern portfolio theory supports diversification in an investment portfolio to measure investment's performance [PDF]
, 2012 This study looks at the Post-Modern Portfolio Theory that maintains greater diversification in an investment portfolio by using the alpha and the beta coefficient to measure investment performance. Post-Modern Portfolio Theory appreciates that investment
Rasiah, Devinaga
core
Portfolio Formation Decisions and Optimal Allocation in Cryptocurrency Investments Considering Both Risk and Return [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atīIn today’s world, investment in the cryptocurrency market is regarded as one of the most attractive yet high-risk opportunities. Given the rapid growth of this market and its impact on the global economy, examining the importance and challenges ...
Iman Ebrahimi +2 more
doaj +1 more source
The performance evaluation of hedge funds: a comparison of different approaches using European data [PDF]
The standard approach to the evaluation of funds assumes a normal return distribution and uses the variance as a measure of the funds risk. A few characteristics of hedge funds, such as the remuneration mechanism of the portfolio manager, make this ...
Carretta, Alessandro +1 more
core +1 more source
Analisis Kinerja Reksa Dana Saham dengan Metode Raw Return, Sharpe, Treynor, Jensen dan Sortino [PDF]
, 2008 Mutual Fund (Reksa Dana) can be used as one of the investment alternatives besides personal saving, time deposit, shares and bond. Mutual fund is an investment that has a form as a collective contract investment and managed by the profesionals.
Hutagaol, Y. (Yanthi) +1 more
core
Portfolio allocations in the Middle East and North Africa [PDF]
We examine the issue of possible portfolio diversification benefits into seven Middle-Eastern and North African (MENA) stock markets. We construct international portfolios in dollars and local currencies.
Brian M. Lucey, Thomas Lagoarde-Segot
core
Exchange rate forecasting and the performance of currency portfolios. IHS Economics Series 326 [PDF]
, 2017 We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three exchange rates, the euro (EUR) versus the US dollar (USD), the British pound (GBP) and the Japanese ...
Crespo Cuaresma, J. +2 more
core
Investing in times of inflation fears: Diversification properties of investments in liquid real assets [PDF]
The financial crisis and the rescue measures taken by governments and central banks increased investors' interest in liquidity and in real assets supposed to offer a hedge against inflation.
Grelck, Michael B. +4 more
core