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...

The fuzzy set is one of the powerful tools used to describe an uncertain environment. As well as quantifying any potential return and risk, portfolio liquidity is taken into account and a linear programming model for portfolio rebalancing with transaction costs is proposed. The level of return that an investor might aspire to, the risk and the liquidity of portfolio are vague in an uncertain fi...

A commonly used approach in long-run event-studies is the calendar time portfolio (CTP) approach developed by Jaffe (1974) and Mandelker (1974) and advocated by Fama (1998). For each calendar month we compute the return of an equally-weighted portfolio of companies that unionized in the last T months, where T is either 18 or 24 in our study. The return of this “unionization portfolio” is denote...

The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set. Having developed the regression model of t...

The principles of Markowitz’s portfolio construction model, which requires explicit risk and expected return assumptions, are widely accepted. In practice, however, the most widely used portfolio construction techniques—market-cap weighting and its main rival, fundamental weighting—make no explicit assumptions about these very same risk and return parameters. The most recent departures from mar...

the present study is an attempt toward evaluating the performance of portfolios using mean-variance-skewness model with negative data. mean-variance non-linear framework and mean-variance-skewness non- linear framework had been proposed based on data envelopment analysis, which the variance of the assets had been used as an input to the dea and expected return and skewness were the output. conv...

This study aims to investigate the effects of stock selection while constructing a portfolio using Skewness as well factors affecting return. was carried out in three stages: based on skewness, asset allocation Quadratic Programming, and return calculation market external factors. To assess select portfolios, this employs novel methodology that combines key financial non-financial characteristi...

In the fuzzy set theory, information  measures play a paramount role in several areas such as decision making, pattern recognition etc. In this paper, similarity measure based on cosine function and entropy measures based on logarithmic function for IFSs are proposed. Comparisons of proposed similarity and entropy measures with the existing ones are listed. Numerical results limpidly betoken th...