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. C...

portfolio selection is considered a critically significant decision, firms have to make. as such, much research has been focused on the selection of a portfolio with a controlled level of risk and high expected return. this paper uses a new definition of risk for portfolio selection whereby risk taking is taken as a curve instead of a specific value. in this paper, a genetic algorithm is presen...

In the empirical finance literature findings on the risk-return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock market return with the business cycle indicator defining the regime. Estimation results show that there is...

some of inherent limitations of accrual accounting make the actual earnings and accounting earnings different. so assessment of reported earnings quality has allocated extensive bulk of accounting studies to itself. the decrease information quality such as earnings quality increases information risk and also the investor’s risk. it’ll increase their expected return. since cost of equity is the ...

AbstructThe space shuttle orbiter (SSO) Ku-band single access return (KSAR) link and the space station freedom (SSF) KSAR link' via the tracking and data relay satellite system (TDRSS) use the same carrier frequency. The interference between spacecraft is minimized by opposite antenna polarizations and by TDRSS antenna beam pointing, but if the SSF and SSO are in close proximity, it is expected...

A lockup period for investment in a hedge fund is a time period after making the investment during which the investor cannot freely redeem his investment. It is routine to have a one-year lockup period, but recently the requested lockup periods have grown longer. Assuming that the investor will rebalance his portfolio of hedge funds on a yearly basis, if permitted, we define the annual lockup p...