JOT YAU IS a professor of finance at Mbers School of Business .iiid Economics. Seattle University in Seattle, WA. ,[email protected] T he significant growth of the hedge funds industry in the past decade has heen supplemented by increased allocations to alternative investments by high-net-worth individuals as well as endowments and foundations. In recetit years, there has been a steady shift i...

Jelen tanulmányban egy nyilvános adatbázisokból elérhető zöldkötvény-portfólió teljesítményelemzését végeztük el a 2017 és 2020 közötti időszakra. Kutatásunk célja zöld prémium létezésének empirikus bizonyítása volt, melyet kockázattal korrigált mutatószámokkal, azaz Sharpe-rátával, az M2-mutatóval Sortino-rátával igazoltunk. A hozamkülönbség, amely zöld- konvencionális pénzügyi eszközök között...

Öz Literatürdeki çalışmalar daha çok İslami endekslerle konvansiyonel endeksler, hisse senetleri ile geleneksel akranları ve sukuklarla tahvillerin karşılaştırılması şeklinde iken, bu çalışmada farklı olarak tahvil (kira sertifikası) 2 yıllık devlet tahvili, döviz kuru BİST100 endeksinin performans oranları karşılaştırılmıştır. Bu çalışmanın amacı, “kira sertifikasının faiz, senedi piyasasından...

This study attempts to evaluate Malaysia’s stock performance before and during COVID-19 across all sectors by using the Sharpe ratio Sortino with risk measured standard deviation. We develop an algorithm for selection construct portfolio investment. In our study, we apply ratio, Treynor Jensen’s alpha identify optimal portfolio. The result shows that based on Top 20 from stocks is superior 3 ea...

Covid-19 pandemi sürecinin BIST-30 hisse senetlerinin piyasa performansı üzerindeki etkileri Karışıklık Matrisi yöntemi ile analiz edilerek döneminin kazananları ve kaybedenleri belirlenmiş, pandeminin sektörel etkileri, aritmetik getiriler, CAPM, Sharpe, Treynor, Sortino Oranları dönemsel sapmalar üzerinden edilmiştir. Türkiye’de ilk vakanın görüldüğü tarih olan 11 Mart 2020 tarihinden sonraki...

This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize conditional value-at-risk and investigate two attributes, asset allocation (AA) the selection effect (SE), constraints on weights. The test consists of stocks from Dow Jones Industrial Average index. Values attributes are established relative to benc...

This research aims to evaluate whether dynamic portfolios consisting of bitcoin and LQ45 stocks outperform composed solely stocks, especially during the Covid-19 pandemic. Accordingly, we use time-series data eight from January 1, 2020, December 31, 2020. We then run DCC-GARCH method analyze better correlation between assets abnormalities stock return distributions. The findings demonstrate tha...