In this paper, we compared the models for selecting optimal portfolio based on different risk measures to identify periods in which some of dominated over others. For decades, best known return-risk model has been Markowitz’s mean-variance model. Based criticism classical Markowitz model, a whole series and have developed, are divided into two groups: symmetrical downside measures. tools provid...

We consider the problem of optimizing a portfolio of n assets, whose returns are described by a joint discrete distribution. We formulate the mean–risk model, using as risk functionals the semideviation, deviation from quantile, and spectral risk measures. Using the modern theory of measures of risk, we derive an equivalent representation of the portfolio problem as a zero-sum matrix game, and ...

Diversification continues to be an important strategy for corporate growth and better financial performance. The relationship between the diversification strategy and profitability as well as diversification and market power has been explored by a number of studies for the developed economies. The present study is an attempt to investigate the relationship between diversification and a firm’s f...

T he number of mutual funds has grown dramatically in recent years. The Financial Research Corporation data base, the source of data for this article, lists 7,734 distinct mutual fund portfolios. Mutual funds are now the preferred way for individual investors and many institutions to participate in the capital markets, and their popularity has increased demand for evaluations of fund performanc...

One of the common questions in all projects, is "How much would be the final cost of the project?" or "How much would be the completion duration of the project?". Earned Value Management presents a method for estimation of these results. In general methods and formula of Earned Value Management, future trend of project, are anticipated completely based on its previous trend, and changes in envi...

A method for computing forward-looking market risk premium is developed in this paper. We first derive a theoretical expression that links forward-looking risk premium to investors’ risk aversion and forward-looking volatility, skewness and kurtosis of cumulative return. In addition, investors’ risk aversion is theoretically linked to volatility spread, defined as the gap between the risk-neutr...

The Serial Reaction Time Task (SRTT) was designed to measure motor sequence learning and is widely used in many fields in cognitive science and neuroscience. However, the common performance measures derived from SRTT-reaction time (RT) difference scores-may not provide valid measures of sequence learning. This is because RT-difference scores may be subject to floor effects and otherwise not suf...

We show that a mutual fund’s stock selection skill can be decomposed into additional components that include liquidity-absorbing impatient trading and liquidity provision. We find that past performance predicts future performance better among funds trading in stocks affected more by information events: Past winners earn a risk-adjusted after-fee excess return of 35 basis points per month in the...

CONTEXT Multiple comprehensive, risk-adjusted studies evaluating short-term surgical mortality have been reported previously. This report analyzes short-term and long-term outcomes, both nationally and at each individual transplant program, for all solid organ transplantations performed in the United States. OBJECTIVES To report graft and patient survival rates for all solid organ transplanta...