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...

OBJECTIVE The aim of the study was to evaluate the stock performance of publicly traded companies that received high scores on the HERO Employee Health Management Best Practices Scorecard in Collaboration with Mercer© based on their implementation of evidence-based workplace health promotion practices. METHODS A portfolio of companies that received high scores in a corporate health and wellne...

Academic researchers and practitioners have proposed various stock-screening models that always contain more than one stock selecting rule and corresponding parameters. However, the criteria in traditional screening models employ crisp norms, which are unreasonable in reality. This paper proposes the fuzzy stock-screening model to select stocks in the portfolio. The screening rules consist of t...

The focal objective of this study is to analyze and explore the Co-movement of Pakistan stock market (KSE-100) with the stock market of developed countries (US, UK, Canada, Australia, Germany, Japan, France and Neither land) which have portfolio investment in Pakistan by applying co-integration approach using Johansen and Juselius multivariate and bi variate co-integration. Secondary data of st...

The general investment problem concerns the allocation of wealth among m assets (stocks) to generate high returns with low risk or uncertainty. Cover and Ordentlich consider this problem from an information theoretic perspective in the case where a side information sequence aids the investment decisions but no assumptions are made on the relative likelihoods (probabilities) of stock returns seq...

One of the major problems that a financial manager faces is the enormous amount of financial data. There is a variety of software systems used to support the process of investment decision making. In this paper, a software system for financial asset management is presented. The system is based on fuzzy logic, operates in real time and differs from existing systems for portfolio management in fi...

Using the Chinese stock market data as sample, this paper investigates the impact of investor sentiment on the assets valuation. In order to classify stocks objectively, our sample stocks are sorted by double indicators (B/M and PE). In the portfolio, we find stocks with low B/M and high PE are sensitive to investor sentiment, which are considered to be costly to arbitrage. Investor sentiment h...