The purpose of this study was to investigate the role of non-financial information analysis and risk-return analysis along with financial information in increasing the selected banks and financial institutions of Tehran Stock Exchange portfolio efficiency. To evaluate the efficiency of the portfolio, the Treynor's ratio was used and attempted to determine the Treynor's ratio of the selected opt...

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...

The levels of diversification in U.S. investors’ equity portfolios present a puzzle. Today’s optimal level of diversification, measured by the rules of mean–variance portfolio theory, exceeds 300 stocks, but the average investor holds only 3 or 4 stocks. The diversification puzzle can be solved, however, in the context of behavioral portfolio theory. In behavioral portfolio theory, investors co...

Cover’s celebrated theorem states that the long run yield of a properly chosen “universal” portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The “universality” pertains to the fact that this result is model-free, i.e., not dependent on an underlying stochastic process. We extend Cover’s theorem to the setting of stochastic portfolio the...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimizati...

The investment portfolio with stochastic returns can be represented as a maximum flow generalized network with stochastic multipliers. Modern portfolio theory (MPT) [1] provides a myopic short horizon solution to this network by adding a parametric variance constraint to the maximize flow objective function. MPT does not allow the number of securities in solution portfolios to be specified. Int...