scholarly journals Analyzing Risks And Returns In Emerging Equity Markets

2011 ◽  
Vol 5 (8) ◽  
Author(s):  
Peter Went
Keyword(s):  
Operations Research ◽  
Risk Measures ◽  
Equity Market ◽  
Data Envelopment ◽  
Font Size ◽  
Market Returns ◽  
Risk Characteristics ◽  
And Performance ◽  
Mean Variance ◽  
Portfolio Return

<p class="MsoNormal" style="text-align: justify; margin: 0in 34.2pt 0pt 0.5in;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This study applies an operations research technique, Data Envelopment Analysis (DEA) on emerging equity market returns.<span style="mso-spacerun: yes;">&nbsp; </span>Sharpe and Treynor measures focus only one risk aspect of portfolio return and in reality investors consider several alternative risk measures outside the traditional mean-variance framework.<span style="mso-spacerun: yes;">&nbsp; </span>DEA is a multivariate approach that can incorporate multiple risk characteristics that may be equally important for the investor&rsquo;s decision to allocate assets to emerging markets, the risk and performance relationships are explored in a multivariate framework. </span></span><strong style="mso-bidi-font-weight: normal;"><span style="font-size: 10pt; mso-fareast-font-family: Batang;"></span></strong></p>

Economic gains around mergers and acquisitions in the construction industry of the United States of America

2004 ◽  
Vol 31 (3) ◽  
pp. 513-525 ◽  
Author(s):  
Jongsoo Choi ◽  
Jeffrey S Russell
Keyword(s):  
Mergers And Acquisitions ◽  
Construction Industry ◽  
The United States ◽  
Equity Market ◽  
Market Returns ◽  
Diversification Strategy ◽  
Unrelated Diversification ◽  
Related Diversification ◽  
Research Findings ◽  
And Performance

As waves of mergers and acquisitions (M&A) have swept over American industrial business organizations, construction firms have been caught in the middle of the resulting turbulence. Nonetheless, no research has investigated these significant events in the construction industry. Built upon the financial theories and methodology, the overall success level of construction M&A transactions was assessed. The research findings, which were drawn from an analysis of 171 construction M&A transactions, indicate that the performance of construction M&A was positive at an insignificant level, as measured by equity market returns. Whereas the relationship between the type of diversification strategy and performance indicates that while the related diversification strategy has been slightly favored by both theories and empirical research findings over unrelated diversification, no significant performance difference was observed between two diversification strategies.Key words: mergers and acquisitions, diversification strategy, equity market returns.

scholarly journals Performance Evaluation of Portfolios with Margin Requirements

2014 ◽  
Vol 2014 ◽  
pp. 1-8 ◽  
Author(s):  
Hui Ding ◽  
Zhongbao Zhou ◽  
Helu Xiao ◽  
Chaoqun Ma ◽  
Wenbin Liu
Keyword(s):  
Performance Evaluation ◽  
Data Envelopment ◽  
Risky Assets ◽  
Margin Requirements ◽  
Short Sellers ◽  
Classical Economics ◽  
Dea Models ◽  
And Performance ◽  
Mean Variance ◽  
Optimization And Performance

In financial markets, short sellers will be required to post margin to cover possible losses in case the prices of the risky assets go up. Only a few studies focus on the optimization and performance evaluation of portfolios in the presence of margin requirements. In this paper, we investigate the theoretical foundation of DEA (data envelopment analysis) approach to evaluate the performance of portfolios with margin requirements from a different perspective. Under the mean-variance framework, we construct the optimization model and portfolio possibility set on considering margin requirements. The convexity of the portfolio possibility set is proved and the concept of efficiency in classical economics is extended to the portfolio case. The DEA models are then developed to evaluate the performance of portfolios with margin requirements. Through the simulations carried out in the end, we show that, with adequate portfolios, DEA can be used as an effective tool in computing the efficiencies of portfolios with margin requirements for the performance evaluation purpose. This study can be viewed as a justification of DEA into performance evaluation of portfolios with margin requirements.

scholarly journals Application of semi-deviation as a proxy for the expected return estimation in the Croatian equity market

2019 ◽  
Vol 5 (1) ◽  
pp. 9-20
Author(s):  
Denis Dolinar ◽  
Davor Zoričić ◽  
Zrinka Lovretin Golubić
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Risk Measures ◽  
Equity Market ◽  
Expected Return ◽  
Deviation Measure ◽  
Out Of Sample ◽  
The Mean ◽  
Risk Parameters ◽  
Mean Variance

AbstractIn the field of portfolio management the focus has been on the out-of-sample estimation of the covariance matrix mainly because the estimation of expected return is much more challenging. However, recent research efforts have not only tried to improve the estimation of risk parameters by expanding the analysis beyond the mean-variance setting but also by testing whether risk measures can be used as proxies for the expected return in the stock market. In this research, we test the standard deviation (measure of total volatility) and the semi-deviation (measure of downside risk) as proxies for the expected market return in the illiquid and undeveloped Croatian stock market in the period from January 2005 until November 2017. In such an environment, the application of the proposed methodology yielded poor results, which helps explain the failure of the out-of-sample estimation of the maximum Sharpe ratio portfolio in earlier research in the Croatian equity market.

Portfolio Return, Risk and Market Timing: A Non-Parametric Approach

2015 ◽  
Vol 5 (2) ◽  
Author(s):  
Joyjit Dhar ◽  
Ram Pratap Sinha
Keyword(s):  
Risk Measure ◽  
Market Timing ◽  
Evaluation Framework ◽  
Data Envelopment ◽  
Portfolio Evaluation ◽  
Period 2 ◽  
Measure Of Performance ◽  
Standard Risk ◽  
Portfolio Return ◽  
Non Parametric

The present study extends the portfolio evaluation framework provided by Sharpe (1964) and Treynor (1965) by including the parameter of market timing with the help of a non-parametric framework. Data envelopment analysis has been used in the present exercise to evaluate the performance 79 mutual funds schemes operating in India for three different phases using two different models. Estimation of technical efficiency on the basis of both the models suggests that period 2 performance is substantially divergent from period 1 and 3. Also, higher moments framework gives a better measure of performance as it accounts not only the standard risk measure but also for skewness and kurtosis characteristics of returns.

scholarly journals Modified Mean-Variance Risk Measures for Long-Term Portfolios

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 111
Author(s):  
Hyungbin Park
Keyword(s):  
Risk Measures ◽  
Risk Measure ◽  
Investment Strategy ◽  
Stochastic Volatility Model ◽  
Heston Model ◽  
Volatility Model ◽  
Variance Risk ◽  
Investment Portfolios ◽  
Mean Variance

This paper proposes modified mean-variance risk measures for long-term investment portfolios. Two types of portfolios are considered: constant proportion portfolios and increasing amount portfolios. They are widely used in finance for investing assets and developing derivative securities. We compare the long-term behavior of a conventional mean-variance risk measure and a modified one of the two types of portfolios, and we discuss the benefits of the modified measure. Subsequently, an optimal long-term investment strategy is derived. We show that the modified risk measure reflects the investor’s risk aversion on the optimal long-term investment strategy; however, the conventional one does not. Several factor models are discussed as concrete examples: the Black–Scholes model, Kim–Omberg model, Heston model, and 3/2 stochastic volatility model.

scholarly journals CHARACTERISTICS OF OMEGA-OPTIMIZED PORTFOLIOS AT DIFFERENT LEVELS OF THRESHOLD RETURNS

2014 ◽  
Vol 12 (2) ◽  
pp. 245-265 ◽  
Author(s):  
Renaldas Vilkancas
Keyword(s):  
Portfolio Optimization ◽  
Risk Measures ◽  
High Threshold ◽  
Portfolio Performance ◽  
Threshold Values ◽  
Portfolio Returns ◽  
Upside Risk ◽  
And Performance ◽  
Risk Free Rate ◽  
Different Levels

There is little literature considering effects that the loss-gain threshold used for dividing good and bad outcomes by all downside (upside) risk measures has on portfolio optimization and performance. The purpose of this study is to assess the performance of portfolios optimized with respect to the Omega function developed by Keating and Shadwick at different levels of the threshold returns. The most common choices of the threshold values used in various Omega studies cover the risk-free rate and the average market return or simply a zero return, even though the inventors of this measure for risk warn that “using the values of the Omega function at particular points can be critically misleading” and that “only the entire Omega function contains information on distribution”. The obtained results demonstrate the importance of the selected values of the threshold return on portfolio performance – higher levels of the threshold lead to an increase in portfolio returns, albeit at the expense of a higher risk. In fact, within a certain threshold interval, Omega-optimized portfolios achieved the highest net return, compared with all other strategies for portfolio optimization using three different test datasets. However, beyond a certain limit, high threshold values will actually start hurting portfolio performance while meta-heuristic optimizers typically are able to produce a solution at any level of the threshold, and the obtained results would most likely be financially meaningless.

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