Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of managed futures based signal across economic regimes, focusing COVID-19 pandemic period. had solid but short-lived impact financial markets, and therefore gives unique insight into strategies’ during such critical moments market stress. We offer new approach to impl...

in order to use an islamic financial instrument, this paper intends to measure and evaluate negative and positive deviations from target rate of return in investment opportunity evaluation,that leads to presenting an upside potential- adjusted risk measure. this risk measure named upside potential adjusted risk measure (alpm) is generally applicable and provides assumptions of variance, downsid...

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not impose the no leverage assumption of Lo and MacKinlay (1988) but our asymptotic standard errors are relati...

capacity of garden productions in iran is such that is accounted as a country that produces thirteen garden products in the world but despite excellent condition in iran for producing garden products, natural disasters damage production of fruits in the country therefore farmers incur a loss. pistachio tree has been in danger of destruction and dryness. thus, in order to reduce loss incurred on...

In the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. These objectives are conflicting and incommensurable. Moreover, the objectives can be imprecise. Generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. The imprecise Goal Program...

for assessment of portfolio performance, it's crucial to adjust the return by the risk which is taken. so it seems undeniable that for measuring the risk-adjusted return of portfolio, we need an appropriate and developed model for risk and asset pricing. fama & french 3 factor model could explain several return anomalies. recent studies show that capital productivity effects on stock retur...

Introduction This paper primarily examines the advantages of bond mutual funds over portfolios of directly held bonds for both institutional and individual investors. First, we review the structural advantages of bond mutual funds, which, compared with separately managed and laddered portfolios of individual bonds, generally provide greater diversification; more regular cash flows that promote ...

in the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. these objectives are conflicting and incommensurable. moreover, the objectives can be imprecise. generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. the imprecise goal program...

In this paper, the investment portfolio is formed based on the data mining algorithm of CHAID on the basis of the risk status criteria. In the next step, the second investment portfolio is created based on the decision rules extracted by the DEA-BCC model. The final portfolio is created through a two-objective mathematical programming model based on the Imperialist Competitive algorithm.