We establish a fundamental relationship between the return on the banking sector’s assets and each banker’s willingness to supply liabilities that facilitate payments and settlement (private money). In particular, we show that the regulation of lending practices is necessary for the optimal provision of private money. In an environment in which bankers cannot commit to their promises, an unregu...

J. Jonek-Kowalska, Silesian University of Technology, Faculty of Organization and Management, Zabrze, Poland The purpose of the article is an assessment of risk, profitability and value as well as the relationships between these parameters for fifteen leading steel producers in the world. The research methodology uses return on assets, beta coefficient and price/book value ratio (P/BV). The res...

   The present study is an attempt toward evaluating the performance of portfolios using mean-variance-skewness model with negative data. Mean-variance non-linear framework and mean-variance-skewness non- linear framework had been proposed based on Data Envelopment Analysis, which the variance of the assets had been used as an input to the DEA and expected return and skewness were the output. C...

Penelitian ini bertujuan untuk mengetahui pengaruh solvabilitas yang diproksikan dengan debt to assets ratio dan aktivitas total turnover sebagai variabel independent terhadap profitabilitas return on asses dependent. Perusahaan menjadi objek penelitian yaitu PT Gajah Tunggal Tbk selama periode 2012-2021. Metodologi digunakan adalah regresi linear melakukan uji asumsi klasik terlebih dahulu. Be...

One of the tenets of equilibrium asset pricing models is that expected return of an asset is positively related to its risk (price variability of the asset). In other words, it is expected that assets with higher expected returns are also the ones with higher risk, or assets with lower risk are the ones with lower expected returns. The logic behind this idea is actually is simple and intuitive:...

modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...

Modern portfolio theory is based on a rational investor choosing the proportions of assets in a portfolio so as to minimize risk and maximize the expected return. In this paper, we investigate the applicability of different stochastic search heuristics to the problem of finding the optimum portfolio. We compare their performance on two problems with known solutions. 1. Portfolio Optimization Gi...