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pro vyhledávání: '"portfolio performance measures."'
Akademický článek
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Autor:
Öykü Yücel
Publikováno v:
Isletme ve Iktisat Calismalari Dergisi, Vol 4, Iss 4, Pp 151-164 (2016)
Bu çalışmayla Borsa İstanbul kapsamında 2005 senesinden itibaren kesintisiz olarak hesaplanan endekslerin çeşitli performans ölçütleri kullanılarak risk temelli performanslarının karşılaştırılması ve endekslerin performanslarının
Externí odkaz:
https://doaj.org/article/e6d10ab0868d4493b1d3158b2220ff83
Publikováno v:
Finance Research Letters. 29:231-238
Following the research strands of enhanced index tracking and of portfolio performance measures optimization, we propose to choose, among the feasible asset portfolios of a given market, the one that maximizes the geometric mean of the differences be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ec716b4bbf3e94676ae6846cf6af011f
https://doi.org/10.1016/j.frl.2018.08.001
https://doi.org/10.1016/j.frl.2018.08.001
Publikováno v:
Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
This paper investigates whether investment strategies using rankings based on different portfolio performance measures lead to different future abnormal returns. A set of 13 commonly used risk-adjusted performance measures is applied to a dataset of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::796249b22b4210404a2c4dece90f67a6
https://doi.org/10.1080/10293523.2020.1723865
https://doi.org/10.1080/10293523.2020.1723865
Autor:
Yeliz Mert Kantar, Ilhan Usta
Publikováno v:
Entropy, Vol 13, Iss 1, Pp 117-133 (2011)
In this study, we present a multi-objective approach based on a mean-variance-skewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well‑diversifie
Externí odkaz:
https://doaj.org/article/f00f641a4c3a4ea2b5acd71fdf3b41a7
Autor:
Yücel, Öykü
Publikováno v:
Isletme ve Iktisat Calismalari Dergisi, Vol 4, Iss 4, Pp 151-164 (2016)
Volume: 4, Issue: 4 151-164
İşletme ve İktisat Çalışmaları Dergisi
Volume: 4, Issue: 4 151-164
İşletme ve İktisat Çalışmaları Dergisi
Bu çalışmayla Borsa İstanbul kapsamında 2005 senesinden itibaren kesintisiz olarak hesaplanan endekslerin çeşitli performans ölçütleri kullanılarak risk temelli performanslarının karşılaştırılması ve endekslerin performanslarının
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::e2b03b58cddc119154c29d0d3baaf1c1
https://dergipark.org.tr/tr/pub/iicder/issue/31654/347061?publisher=http-www-cag-edu-tr-ilhan-ozturk
https://dergipark.org.tr/tr/pub/iicder/issue/31654/347061?publisher=http-www-cag-edu-tr-ilhan-ozturk
Akademický článek
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Autor:
Ilhan Usta, Yeliz Mert Kantar
Publikováno v:
Entropy, Vol 13, Iss 1, Pp 117-133 (2011)
Entropy; Volume 13; Issue 1; Pages: 117-133
Entropy; Volume 13; Issue 1; Pages: 117-133
WOS: 000286594600008
In this study, we present a multi-objective approach based on a mean-variance-skewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to ge
In this study, we present a multi-objective approach based on a mean-variance-skewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to ge
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf2197a4303a7a2c82d528eb3275c5fe
https://doi.org/10.3390/e13010117
https://doi.org/10.3390/e13010117
Akademický článek
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Publikováno v:
The International Journal of Business and Finance Research. 4(4):89-101
During the October 9, 2007-March 9, 2009 period, the U.S. stock market experienced the worst bear market in its history since the Great Depression. Empirical studies show that exchange-traded country index funds can provide portfolio diversification
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::db3ae5d7e5323a77ba71026e4666d713
http://www.theibfr2.com/public_ftp/RePEc/IBF/ijbfre/ijbfr-v4n4-2010/ijbfr-v4n4-2010-7.pdf
http://www.theibfr2.com/public_ftp/RePEc/IBF/ijbfre/ijbfr-v4n4-2010/ijbfr-v4n4-2010-7.pdf