The present study is an attempt toward evaluating the performance of portfolios and asset selectionusing cross-efficiency evaluation. Cross-efficiency evaluation is an effective way of ranking decisionmaking units (DMUs) in data envelopment analysis (DEA). Conventional DEA models assume nonnegativevalues for inputs and outputs. However, we know that unlike return and skewness, varianceis the on...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

Investor decision making has always been affected by two factors: risk and returns. Considering risk, the investor expects an acceptable return on the investment decision horizon. Accordingly, defining goals and constraints for each investor can have unique prioritization. This paper develops several approaches to multi criteria portfolio optimization. The maximization of stock returns, the pow...

We examine how the evidence of the time-varying volatility in stock returns affects optimal dynamic portfolio choice of investors with long horizons. As return volatility shows a relatively small correlation with realized return, its time-variation is expected to cause little, if any, hedging demand (in the sense of Merton (1973)). However, we find that, once transaction costs are taken into ac...

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...

There has been considerable public discussion of the investment performance of the University of California Retirement Plan (UCRP). Much of that discussion has been based on simple comparisons of the realized investment returns of UCRP to those of other pension plans, such as CalPERS. Such comparisons provide no economically meaningful or statistically significant information about the quality ...

In this article, we apply the mean-expected tail loss (ETL) portfolio optimization to the consensus temporary earnings forecasting (CTEF) data from global equities. The time series model with multivariate normal tempered stable (MNTS) innovations is used to generate the out-of-sample scenarios for the portfolio optimization. We find that (1) the CTEF variable continues to be of value in portfol...