More than 90% of wage earners in the United States can receive pension options benefits after retirement. It is especially important to manage funds reasonably and choose right investment We use capital asset pricing model (CAPM) Fama-French three-factor establish non-pension portfolios measure return risk changes portfolio investments under different investments. The experimental results show ...

In this paper, we analyze momentum strategies that are based on reward-risk stock selection criteria in contrast to ordinary momentum strategies based on a cumulative return criterion. Reward-risk stock selection criteria include the standard Sharpe ratio with variance as a risk measure, and alternative reward-risk ratios with the expected shortfall as a risk measure. We investigate momentum st...

investing on growth stocks and value stocks has represented one of the research topics on strategies creating excess return. in this paper, which focuses on companies listed in tehran stock exchange, companies are categorized into growth and value based on certain measures and then their performances are studied. in addition to individual ratios used in a large volume of researches, combined me...

For decades, performance comparisons between real estate and financial assets have repeatedly indicated that private real estate investment exhibits significantly higher risk-adjusted returns than publicly traded financial assets such as common stocks. That is, there is an apparent “real estate risk premium puzzle.” In this paper, we find that the seemingly superior risk-adjusted returns of rea...

The most important objectives in portfolio management are to have the highest average return at a certain level of risk and eliminate unsystematic through diversification. Measuring performance their portfolios has an place investment decisions for investors who want maximum risk. In order measure performance, there three basic methods; Sharpe Ratio, Treynor Ratio Jensen’s Alpha indices. this s...

data envelopment analysis (dea) has been long employed as a popular methodology to evaluate the performance of various production activities with multiple inputs and outputs. however, an important issue is that the production process in the real world inevitably generates undesirable outputs (like wastes and pollutants) along with desirable outputs. therefore, the undesirable outputs should be ...

The purpose of this paper is to analyze the effect of either booms or disasters on the Sharpe Ratio. We provide a closed form expression of the Sharpe Ratio of an index whose log-return follows an arbitrary distribution. That is, besides variance, we allow for skewness, kurtosis and higher cumulants of the log-return to be non-zero. Our article has two main contributions. First, the Sharpe Rati...

Using a Genetic Algorithm (GA), an artificial intelligence technique, this study proposes an user-interactive dynamic portfolio selection strategy using a decision support system that will generate an optimal investment mix of assets based on user selection by maximizing the return of the Sharpe Ratio, a measure of the excess return received on a portfolio for the increase of volatility by acqu...

We investigated a test of strategic reasoning (the Windows task) that in different studies has yielded contrasting pictures of young children’s executive abilities [Russell, J., Mauthner, N., Sharpe, S., & Tidswell, T. (1991). The “windows task” as a measure of strategic deception in preschoolers and autistic subjects.British Journal ofDevelopmental Psychology, 9, 331–349; Samuels, M. C., Brook...