Results 81 to 90 of about 4,917 (191)

Mutual fund performance in Slovenia : an analysis of mutual funds with investment policies in Europe and the energy sector [PDF]

, 2012
This paper examines the risk and return performance of mutual funds in Slovenia from 2005 until August 2009. The research is limited to the regional investment policies in Europe and the energy sector.
Markovič-Hribernik, Tanja, Vek, Uroš
core  

PORTFOLIO OPTIMIZATION UNDER THE MEAN-SEMIVARIANCE BEHAVIORAL HYPOTHESIS. EMPIRICAL EVIDENCE OF THE DEPENDENCE BETWEEN OPTIMAL PORTFOLIO STRUCTURE AND ESG RISK SCORES [PDF]

Management of Sustainable Development
This paper aims to perform a portfolio optimization under the Mean-Semivariance Behavioral Hypothesis and measures whether there is dependence between the optimal portfolio structures thus obtained and ESG Risk Scores.
BRĂTIAN Vasile
doaj   +1 more source

Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach [PDF]

Markowitz’s (1952) portfolio theory has permeated financial institutions over the past 50 years. Assuming that returns are normally distributed, Markowitz suggests that portfolio optimization should be performed in a mean-variance framework.
Yan Olszewski
core  

The Role of Sex in the Assessment of Return and Downside Risk in Decumulation Financial Planning

Risks
This paper aims to assess the return and downside risk of a decumulation portfolio established at the retirement age of a senior, with a determined lifetime horizon differentiated by the sex of the citizen.
Amaia Jone Betzuen Álvarez, Amancio Betzuen Zalbidegoitia   +1 more
doaj   +1 more source

Portfolio Optimization with Systemic Risk Approach [PDF]

Iranian Journal of Finance
Portfolio optimization has always been the main concern of investors. What differentiates different optimization models from each other is the risk measure.
Mohammad Azad, Mirfeiz Fallah Shams, Ali Rahmani, Teymour Mohammadi   +3 more
doaj   +1 more source

PERFORMANCE MEASUREMENT AND EVALUATION [PDF]

This chapter discusses methods and techniques for measuring and evaluating performance for the purpose of controlling the investment process. However, many of the methods discussed in this chapter are also used in communicating investment performance ...
Plantinga, Auke
core   +1 more source

Assessment of Risk-Adjusted Performance of Investment Funds Traded in the Stock Exchange of the Baltic Countries

Socialiniai Tyrimai, 2017
Recently, researchers have been paying increasingly more attention to risk-adjusted performance of investment funds. Nevertheless, the asymmetry, the smoothness or the peakedness of returns have been poorly explored.
Vilija Aleknevičienė, Laura Žvinklytė   +1 more
doaj   +1 more source

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.
openaire   +1 more source

Stochastic Correlation and Risk Premia in Term Structure Models [PDF]

This paper proposes and analyses a term structure model that allows for both stochastic correlation between underlying factors and an extended market price of risk specification. The issues of invariant transformation and different normalization are then
Carl Chiarella, Chih-Ying Hsiao, Thuy-Duong To   +2 more
core  

Investing in Small Basket Portfolios of DJIA Low Return Stocks: The Potential for Losers to Become Winners [PDF]

, 2017
The focus of this research is on the performance of portfolios constructed on an annual basis from stocks that make up the Dow Jones Industrial Average (DJIA)using a long-only minimum realized return small-basket portfolio (MinRet SBP)strategy.
Larsen, Glenn A.
core