Results 31 to 40 of about 326 (153)
EPH - International Journal of Business & Management Science, 2021 This study aims to compare the return and risk on shares of Construction Services Sector Companies in the period before and during the COVID-19 pandemic in Indonesia. The research method used was a quantitative method with a descriptive approach using secondary data with 15 samples of companies selected by the non-probability sampling method with the ...
Dewi Tamara +3 more
openaire +1 more source
Journal of Management Small and Medium Enterprises (SME's)This study investigates whether the Sharpe Ratio and Treynor Ratio produce significantly different portfolio performance rankings in the Indonesian stock market.
Thersia M M Da Silva +3 more
doaj +1 more source
Evaluation of the efficiency of European Union farms: a risk-adjusted return approach
Agricultural Economics (AGRICECON), 2018 The aim of this study was to assess the efficiency of EU member-state farms using a risk-adjusted return approach and to determine the impact of subsidies on the efficiency of EU farms.
Vilija ALEKNEVICIENE +2 more
doaj +1 more source
Portfolio Optimization at Damascus Securities Exchange: A Fractal Analysis Approach
Cogent Economics & Finance, 2023 This paper adopts the fractal analysis approach, specifically a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange (DSE).
Kinda Dooba, Sulaiman Mouselli
doaj +1 more source
Analisis Sensitivitas Model Black-Litterman Menggunakan Treynor Ratio pada Portofolio Saham
Journal of Mathematics UNP, 2022 Investment is an activity that can not separate from return and risk, so that forming portfolio is important to risk minimizing and profit optimizing. One of way to optimizing portfolio is using Black-Litterman model. This model is model that combine equilibrium return by CAPM eith investor’s views about return an asset. Purpose of this research are to
openaire +1 more source
MARKET TIMING ABILITIES OF LARGE-CAP EQUITY MUTUAL FUND MANAGERS: EVIDENCE FROM INDIA
Copernican Journal of Finance & Accounting, 2021 This study investigates the Market Timing Ability (MTA) of large-cap equity fund managers in India. The extensions of Treynor and Mazuy (TM) model and Henriksson and Merton (HM) model have been used by adding six additional factors related to the public ...
V. Veeravel, S. Mohanasundaram
doaj +3 more sources
Analyzing the Performance of Iran Mutual Funds [PDF]
پژوهشهای تجربی حسابداری, 2013 This paper is based on the performance of mutual fund in the Tehran’s stock exchange criteria based on modern portfolio theory consists of (Sharp ratio, Modigliani,Standard Deviation, Systematic Risk, Treynor, Jenesen alpha) and Post Modern portfolio ...
Gholamreza Soleimany Amiri, Ameneh Abed
doaj +1 more source
Formulating Cryptocurrencies Dynamic Portfolio with Consumption Sectors’ Stocks
Media Ekonomi dan Manajemen, 2022 This study was conducted to analyze the performance of the portfolio formed with different asset classes. The instrument used is the consumption sector index with 5 cryptocurrencies.
Naufal Dwinanda Narra Putra +2 more
doaj +1 more source
Global Oil and Gas Stocks: Anomalies, Systematic Risks and Mispricing
International Journal of Finance &Economics, EarlyView.ABSTRACT We analyse anomaly and factor risk premia in the global oil and gas (OG) sector, which plays a central role in the global economy through its importance for energy supply, industrial production, and capital markets. Using firm‐level and portfolio data, we examine whether cross‐sectional return patterns reflect systematic risk compensation or ...
Nader Virk +3 more
wiley +1 more source
Analysing assets’ performance inside a portfolio: From crossed beta to the net risk premium ratio
Cogent Economics & Finance, 2017 This paper is focused on enlarging the performance inside a portfolio that provides the Treynor ratio by relating portfolio weights with performance indicators.
Maria-Teresa Bosch-Badia +2 more
doaj +1 more source