Results 11 to 20 of about 326 (153)
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
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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.
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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
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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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Efficiency testing of Malaysian Takaful fund using Treynor’s and Sharpe’s ratio [PDF]
AIP Conference Proceedings, 2020 Malaysian Takaful fund is a form of investment where investors are given the flexibility to choose their own risk tolerance and investment. Therefore, investors can also choose from a variety of funds to invest and raise money in certain portfolio. Efficiency testing is very important to assist investors in analyzing the risk and expected return of ...
Nurfadhlina Abdul Halim +3 more
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Performance Evaluation of Mutual Funds Via Single Valued Neutrosophic Set (SVNS) Perspective: A Case Study in Turkey [PDF]
Neutrosophic Sets and Systems, 2018 The aim of this study was to use the Single-Valued Neutrosophic Set (SVNS) to analyze 58 mutual funds, traded at the Istanbul Stock Exchange, under incomplete, indeterminate and inconsistent information.
Serpil Altinirmak +3 more
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Risk-return performances of real estate investment funds in Turkey including the Covid-19 period
International Journal of Strategic Property Management, 2021 The purpose of this research is to give an insight into the Turkish real estate investment funds (T-REIFs) by comparing their risk-return performances with the main benchmark investment tool Istanbul Stock Exchange-100 (BIST-100) Index.
Mehmet Emre Çamlibel +2 more
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Assesment of Mutual Fund Performance Using the Calculation Methods of Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square (Study on Indonesia Mutual Fund for the 2016-2018) [PDF]
Sumerianz Journal of Business Management and Marketing, 2021 The purpose of this study is to determine the difference in returns on the JCI or stock mutual funds returns and to find out how well the performance of the four stock mutual funds is in the conclusion that there is a difference or not in the consistency of the performance of stock mutual funds.
Indri Puspita Sari, Asep Risman
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PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018
Journal of Management and Entrepreneurship Research, 2020 Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio.
Happy Catherine, Robiyanto Robiyanto
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Portofolio Optimal Investasi Saham dari 6 Sektor pada Indeks LQ45 Periode 2015-2018
Jurnal Aplikasi Bisnis dan Manajemen, 2020 The purpose of this research is to build an optimum investment portfolio of stocks using Single Index Model (SIM) from 31 stocks of 8 sectors LQ45 indices (trade, mining, infrastructure, consumer, industry, agriculture, finance, and properti) during ...
Benyamin Verkino +2 more
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