Results 1 to 10 of about 1,201 (194)
Treynor Ratio to Measure Islamic Stock Performance in Indonesia
Jurnal Fourier, 2019 Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko
Mohammad Farhan Qudratullah
doaj +4 more sources
A Refinement to the Treynor Ratio
Journal of Asset ManagementAbstract We propose a refinement to the Treynor Ratio, as a key risk-adjusted measure of investment performance, and we further demonstrate its usefulness based on calculations relying on a sample of different funds. The original Treynor Ratio has shortcomings that affect the correctness of rankings of funds (or other investment ...
Janusz Brzeszczynski +2 more
exaly +4 more sources
Energy Reports, 2022 After 1980s, liberalization in energy industry accelerated. At that times, private sector started to show more tendency to electricity thanks to regulations and policies made by governments so electricity markets emerged and spread very rapidly, which ...
Mete Emin Atmaca
exaly +4 more sources
The Treynor Ratio as a Risk-adjusted Return of Croatian Listed Firms
International Journal of Economic Sciences, 2023 Motivated by the importance of determinants of firm performance, especially in terms of risk-adjusted performance that considers underlying risks, this paper explores the effects of firm-specific determinants on risk-adjusted returns such as the Treynor ratio. Specifically, the authors explore whether firm size, capital expenditures, capital intensity,
Pavić Kramarić, Tomislava +2 more
openaire +4 more sources
JIET (Jurnal Ilmu Ekonomi Terapan)Before purchasing shares on the stock exchange, potential investors and investors need to measure the performance of the stock portfolio of companies listed on the stock exchange to identify the level of return to be received and whether the level of ...
Asiska Nur Abidah +3 more
doaj +2 more sources
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
doaj +3 more sources
A novel approach to using modern portfolio theory
Borsa Istanbul Review, 2023 Since their inception, modern portfolio theory (MPT) and the Sharpe ratio have been among the most popular investment methodologies. Although MPT has shortcomings, it effectively uses market sentiment to predict low-risk, high-earning portfolios.
Taariq G.H. Surtee +1 more
doaj +1 more source
Sharpe and Treynor Ratios on Treasury Bonds* [PDF]
The Journal of Business, 2006 We challenge asset pricing theory with numerous stylized facts regarding risk and return on U.S. Treasury securities. Most striking is our finding that reward/risk ratios vary inversely with maturity and are incredibly high for short‐term bills. Apparently investors would do much better engaging in highly leveraged investments in bills instead of ...
Pilotte, E. A., Sterbenz, Frederic P.
openaire +2 more sources
Complexity, 2023 This paper addresses a method to solve a multi-period portfolio selection on the stock market. The portfolio problem seeks an investor to trade stocks with a finite budget and a given integer number of stocks to hold in a portfolio.
Luis Aburto +3 more
doaj +1 more source
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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