Market timing with aggregate and idiosyncratic stock volatilities [PDF]
Guo and Savickas [2005] show that aggregate stock market volatility and average idiosyncratic stock volatility jointly forecast stock returns. In this paper, we quantify the economic significance of their results from the perspective of a portfolio ...
Hui Guo, Jason Higbee
core
Does sustainable competitive advantage make a difference in stock performance during the Covid-19 pandemic? [PDF]
Financ Res Lett, 2022 Yu H.
europepmc +1 more source
Enhancing Portfolio Optimization:A Theoretical Exploration of the Multi-Factor Treynor-Black Model
This note explores theoretical enhancements to the traditional Treynor-Black model (Treynor and Black, 1973) by incorporating multiple risk factors as proposed by models like the Fama-French five-factor model (Fama and French, 2015).
Lundtofte, Frederik; id_orcid
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Komparasi kinerja saham syariah Indonesia, Malaysia, dan Amerika Serikat dengan menggunakan metode sharpe, treynor, jensen, differential return dan appraisal ratio [PDF]
, 2017 INDONESIA: Pertumbuhan kinerja saham syariah Indonesia berkembang sangat pesat, ditahun 2013-2015, berbeda dengan yang dialami Malaysia dan Amerika justru mengalami penurunan.
Pertiwi, Nanda
core
, 2023 Penelitian ini bertujuan untuk membandingkan kinerja reksadana konvensional dan syariah jenis saham serta pendapatan tetap. Data yang digunakan dalam penelitian ini merupakan nilai aktiva bersih (NAB) dari data historis yang diperoleh dari laporan ...
Moin, Abdul, Akbar, Iksan Nun
core
Thalamo-cortical circuits associated with trait- and state-repetitive negative thinking in major depressive disorder. [PDF]
J Psychiatr Res, 2023 Tsuchiyagaito A +5 more
europepmc +1 more source
, 2014 Mutual funds are alternative investments for individuals who wish to earn higher than a typical savings account. Mutual funds enterprises are comprised of fund managers who are more capable of handling large amount of funds for the investors, who may ...
Ching, Stephanie Jammille S. +2 more
core
The pricing of temperature futures at the Chicago Mercantile Exchange
, 2010 This paper analyzes observed prices of US temperature futures at the Chicago Mercantile Exchange (CME). Results show that an index modeling approach without detrending captures the prices exceptionally well.
Wimmer, Maximilian, Dorfleitner, Gregor
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Stochastic Dominance Analysis of iShares [PDF]
Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Davidson and Duclos (2000) and Memmel (2003) provide procedures for determining the statistical significance of stochastic dominance ...
Dominic Gasbarro +2 more
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Portfolio Optimization with Artificial Hummingbird Algorithm for Cement Industry
Istanbul Business ResearchPortfolio optimization, which is performed while investing in any asset, is an important issue for all investors and finance researchers. In this study, the Artificial Hummingbird Optimization Algorithm (AHA), which has been proposed in recent years, was
Murat Erhan Çimen
doaj +1 more source