in this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by rahnamaye roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with sharpe and treynor performance measures and tested by an active portfolio management approach to identify the portfolios by perform...

We propose a framework for considering active portfolio management, consistent with existing literature in the single period environment, but extended to the multi-period environment that most practicing active managers operate in. We derive several active portfolio management results including the Generalised Law of Active Portfolio Management (a generalisation that accounts for correlations a...

In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by perform...

We study an investor’s decision to switch from active portfolio management to passive management. This problem is mathematically modelled by a mixture of a consumption-portfolio selection problem and an optimal stopping problem. We assume that the investor has stochastic differential utility with ambiguity aversion and incurs utility loss from active portfolio management that can be avoided by ...

Investment decision making is one of the key issues in financial management. Selecting the appropriate tools and techniques that can make optimal portfolio is one of the main objectives of the investment world. This study tries to optimize the decision making in stock selection or the optimization of the portfolio by means of the artificial colony of honey bee algorithm. To determine the effect...

Portfolio management starts with asset allocation. There is a consensus that asset allocation plays an important role in determining portfolio performance (Arshanapalli, Coggin & Nelson, 2001). Active portfolio management implies the rebalancing of the existing portfolio by buying and selling assets. The aim of rebalancing is to improve the performance of the managed portfolio by adjusting it t...

in the research we try to introduce “network matrix” in selecting optimizing portfolio for active management in investment companies, to evaluating obtained portfolio of this, with this aim that have high efficiency in relation to market portfolio efficiency. first matrix (portfolio) is value-growth stocks that are classified by standards p/e and p/b and second matrix (portfolio) are an aggress...

We address a portfolio selection problem that combines active (outperformance) and passive (tracking) objectives using techniques from convex analysis. assume general semimartingale market model where the assets' growth rate processes are driven by latent factor. Using analysis we obtain closed-form solution for optimal provide theorem establishing its uniqueness. The motivation incorporating f...