the present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely data envelopment analysis (dea). huge amounts of money are being invested in financial market. as a result, portfolio performance evaluation has created a great deal of interest among people. we kn...

In the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. These objectives are conflicting and incommensurable. Moreover, the objectives can be imprecise. Generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. The imprecise Goal Program...

A Fuzzy Behavioral Portfolio model (FBPM) is proposed for security investment with insufficient market information and uncertain emotion influence on investment return and risk. Based on the general behavioral portfolio theory, trapezoidal fuzzy number is employed to characterize investment return and risk. Text emotion analysis based on emotional lexicons is introduced to obtain the market inv...

Many portfolio managers measure performance with reference to a benchmark. The difference in return between a portfolio and its benchmark is the active return of the portfolio. Portfolio managers and their clients want to know what caused this active return. Performance attribution decomposes the active return. The two most common approaches are the Brinson-Hood-Beebower (hereafter referred to ...

Many portfolio managers measure performance with reference to a benchmark. The difference in return between a portfolio and its benchmark is the active return of the portfolio. Portfolio managers and their clients want to know what caused this active return. Performance attribution decomposes the active return. The two most common approaches are the Brinson-Hood-Beebower (hereafter referred to ...

this study examines the empirical validity of claims that value stocks (stocks with high ratios of book value to price) have higher average returns than growth stocks (stocks with low book-to-market ratios). the analyses are performed using data pertaining to 70 firms for the period 1381-1389 and used the panel data methodology. this paper contains significant and consistent results. the result...

Harry Markowitz’s mean-variance model for portfolio choice posits a linear relationship between the return of a portfolio and the returns of its component securities. This linear relationship does not hold in an ex post setting when monthly or quarterly returns are used. 1 The Standard Portfolio Selection Model Harry Markowitz begins Mean-Variance Analysis in Portfolio Choice and Capital Market...

in the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. these objectives are conflicting and incommensurable. moreover, the objectives can be imprecise. generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. the imprecise goal program...

The returns and risks of investment portfolio in a financial system was investigated by constructing a theoreticalmodel based on the Hestonmodel. After the theoreticalmodel and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the probability distribution, the variance and loss rate of equity portfolio return) between simulation res...

return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...