This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two attributes, asset allocation (AA) the selection effect (SE), constraints on weights. The test consists of stocks from Dow Jones Industrial Average index. Values attributes are established relative to benc...

This research aims to evaluate whether dynamic portfolios consisting of bitcoin and LQ45 stocks outperform composed solely stocks, especially during the Covid-19 pandemic. Accordingly, we use time-series data eight from January 1, 2020, December 31, 2020. We then run DCC-GARCH method analyze better correlation between assets abnormalities stock return distributions. The findings demonstrate tha...

The main thrust of this study is to construct optimal portfolio using Sharpe single index model with reference BSE Sensex. Portfolio construction an important process for the investors/ managers in capital markets. In paper we made attempt apply Sensex 30 stocks. order stocks 5 years data i.e from June 2016 July 2021 have be considered. proposed method formulates a unique cut-off rate and selec...

In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only level risk, found that cocoa had highest risk losses, followed by orange juice. Cotton and coffee lowest losses. However, according output, cotton was worst asset in which invest because it negative average returns. contradistinction, sugar a rel...

Sundberg, Fawcett, Illner & McCann (1975) have shown that high concentrations of indomethacin (1 and 2\m=.\7mM) can increase the release of LH and FSH from rat pituitary tissue in vitro. Such concentrations, however, have other actions in addition to the inhibition of prostaglandin (PG) synthetase for which the drug is commonly used experimentally (Flower, 1974). The effects of lower concentrat...

The classical mean-variance investment model is simple, elegant, and popular. As such, it is also subject to criticisms. One unsatisfactory feature of the model is that variance treats the upside and downside equally as risks. In this regard, the downside Lower Partial Moments (LPM) are more attractive as alternative risk measures, since they only penalize the downside. In the meanwhile, consid...