This study aimed to compare composition of the optimal portfolio stocks, proportion funds in each these stocks and calculate risk return from Investor33 (INV33) Index Jakarta Islamic (JII) research period January 2016-December 2018. The method used this is a quantitative descriptive method. Sample using purposive sampling were 24 stock INV33 17 JII Index. results as follows : (1) by capital ass...

This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature–the parametric approach and the nonparametric approach. Our combined approach possesses important advantages over both methods. Using our two-stage combined estimator, we derive new te...

Computational Grids are a promising platform for executing large-scale resource intensive applications. This paper identifies challenges in managing resources in a Grid computing environment and proposes computational economy as a metaphor for effective management of resources and application scheduling. It identifies distributed resource management challenges and requirements of economy-based ...

According to the Capital Asset Pricing Model (CAPM), expected return and risk of security are related. Since January 2020, due COVID-19, numerous businesses failed adjust new reality grew dangerous unpredictable for their investors. The goal this research is assess how pandemic might impact asset pricing company betas. This study has utilized empirical data regression analysis measure beta CAPM...

We develop structural econometric tests of asset pricing theory for application to data from experimental financial markets. The tests differ from those used in the analysis of field data because they verify the consistency between prices and allocations, as opposed to merely testing whether only prices satisfy equilibrium restrictions. Our tests also differ from standard field tests because th...

We explore the asset pricing implications of an investment-based model that features a stochastic technology frontier and costly technology adoption. Firms adopt the latest technology embodied in new capital to reach a stochastic technology frontier, but this decision entails an adoption cost. The model predicts that old capital firms are more risky and hence offer a higher returns than young c...