In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by perform...

A b stra c t We propose a methodology for modelling the value at risk of a complex portfolio, based on an extension of the Ho, Stapleton and Subrahmanyam technique. We model the variance-covariance structure of up to seven variables. These could represent four country indices and three exchange rates, for example. In addition, the e®ect of an arbitrary number of orthogonal factors can be analys...

This paper derives in closed form the optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal updated portfolio is a linear combination of the existing portfolio, the optimal portfolio absent trading costs, and the optimal portfolio based on future expected returns and transaction costs. Predictors...

1Jonathan B. Berk Haas School of Business University of California, Berkeley and National Bureau of Economic Research Email: [email protected] P roponents of “efficient markets” argue that it is impossible to consistently beat the market. In support of their view they point to the evidence that, as a group, active managers do not beat the market and conclude that even these investment prof...

This study aimed to describe students' perceptions of using e-portfolio in writing descriptive text and find out the impact use text. research was conducted with a qualitative approach case study. The questionnaire, interview, students’ artifacts were used collecting data. participants this 32 students from first grade (X MIPA) Mekar Arum senior high school Bandung, West Java. There students, c...

This paper presents an exploratory study of the potential for offering students elements to construct their own personal learning environments, through a combination of an eportfolio and integrated learning platform. The intention was to integrate an institutional virtual learning environment; an e-portfolio for assembling work, where the students can include ideas and reflections and create th...

Though organizations have more and more evolved into loosely knit structures and corporate alliances have therefore become central to most business models, only very few organizations systematically track the performance of their alliance portfolio. This paper is an exploratory paper aiming to present an architecture for decision support systems for the design of such a portfolio. In this paper...

We consider portfolios whose returns depend on at least three variables and show the e ect of the correlation structure on the probabilities of the extreme outcomes of the portfolio return, using a multivariate binomial approximation. The portfolio risk is then managed by using derivatives. We illustrate this risk management both with simple options, whose payo depends upon only one of the unde...

Every year, we receive in our Department of Pathology 7 groups of medical students in the third year of medical study who try to achieve the educational targets specified in their portofolios. In our department, we use many educational methods varying from traditional to new pedagological ones based on the reflexive view. We targeted to evaluate the efficacy of associating different learning me...

This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...