The paper addresses the constrained mean-semivariance portfolio optimization problem with the support of a novel multi-objective evolutionary algorithm (n-MOEA). The use of semivariance as the risk quantification measure and the real world constraints imposed to the model make the problem difficult to be solved with exact methods. Thanks to the exploratory mechanism, n-MOEA concentrates the sea...

Downside deviation, semivariance, or the second lower partial moment are different names for the same risk measure, proposed in the literature for capturing the downside risk of investment decisions. This paper analyzes multiperiod decision making under such a risk measure, and finds that a V-shaped decision rule in wealth is prevalent for the most common assumptions on the distribution of unce...

This research reports on the findings of a study that examined the performance of Islamic unit trust funds in comparison with the conventional trust funds in Malaysia. The objectives of the study were to compare the nature and characteristics of both funds, assess their risks and returns profiles, measure the degree of diversification and compare the consistency of performance ranking. The perf...

BACKGROUND AND PURPOSE Although both ends of the hemoglobin range may negatively influence clinical outcomes in acute ischemic stroke, most studies have examined the linear relationship or focused on the lower end of the range. Furthermore, it is unclear whether hemoglobin concentrations at different time points during hospitalization correlate with clinical outcomes in the same manner. METHO...

Performance measures such as the Sharpe ratio and the information ratio are estimation subject to estimation error. Lo (2002) derives the explicit expressions for the statistical distribution of the Sharpe ratio. Bertrand and Protopopescu (2007) have extended his work to the bivariate case which corresponds to the Information ratio. In the present paper, we analyze the effects of skewness and k...

a r t i c l e i n f o Keywords: Risk-return tradeoff Downside-risk MIDAS regressions HAR model Intraday data This paper considers the downside-risk aversion of investors as an explanation for the risk-return trade-off. We test empirically this hypothesis using intraday data along with the recent measure of downside-risk called realized semivariance developed in Barndorff-Nielsen et al. (2010). ...

Investors are expected to be guided through investment performance measurement and analysis in order safeguard against potential loss of returns or the capital invested. Whereas residential real estate (RRE) constitutes a significant part portfolios individual institutional investors across globe, assessment risk-return RRE Nigeria generally has not been well researched. (RE) Lafia city Nasaraw...

Purpose: The main purpose of this study is to analyse the performance mutual funds using Risk- Return Relationship Models. Theoretical framework: One India's most important financial intermediaries, can provide a wide range services small and large investors. They are also involved in country's transformation, their market participation has become more important. Evaluating fund's concerns inve...