scholarly journals Mean-gini and mean-extended gini portfolio selection: An empirical analysis

2016 ◽  
Vol 6 (3) ◽  
pp. 59-66
Author(s):  
Jamal Agouram ◽  
Lakhnati Ghizlane
Keyword(s):  
Standard Deviation ◽  
Empirical Analysis ◽  
Portfolio Selection ◽  
Financial Market ◽  
Sharpe Ratio ◽  
Rate Of Return ◽  
Individual Investor ◽  
Market Data ◽  
Crisis Period ◽  
Portfolio Strategies

The purpose of this study was to examine Mean-Gini strategy (MG) and Mean-Extended Gini strategy (MEG) for optimum portfolio selection, in terms of the monthly Rate of Return, Standard Deviation, Sharpe Ratio, Treynor Ratio and Jensen’s Alpha. This paper compared different optimum portfolio strategies, based on Moroccan financial market data taken from turbulent market periods between the years 2007 to 2015. Two distinct sub-periods were studied: (1) crisis period: 2007-2009; (2) post-crisis period: 2010-2015. The results show that both strategies were profitable for investors, but that the MEG strategy is the more appropriate and secure strategy for an individual investor.

Petroleum Exploration Risk in Prospect Portfolio Selection

2017 ◽  
pp. 40-65
Keyword(s):  
Standard Deviation ◽  
Portfolio Selection ◽  
Six Sigma ◽  
Efficient Frontier ◽  
Sharpe Ratio ◽  
Petroleum Exploration ◽  
Management Approach ◽  
Portfolio Optimisation ◽  
Exploration Risk ◽  
Return Variance

Presented method is applied to petroleum exploration for prospect portfolio selection to achieve investment objectives controlling risk. DMAIC framework applies stochastic techniques to risk management. Optimisation resolves Efficient Frontier of portfolios for desired range of expected return with initially defined increment. Simulation measures Efficient Frontier portfolios calculating mean return, variance, standard deviation, Sharpe Ratio, and Six Sigma metrics versus pre-specified target limits. Analysis considers mean return, Six Sigma metrics and Sharpe Ratio and selects the portfolio with maximal Sharpe Ratio as initially the best portfolio. Optimisation resolves Efficient Frontier in a narrow interval with smaller increments. Simulation measures Efficient Frontier performance including mean return, variance, standard deviation, Sharpe Ratio, and Six Sigma metrics versus pre-specified target. Analysis identifies the maximal Sharpe Ratio portfolio, i.e. the best portfolio for implementation. Selected prospects in the portfolio are individual projects. So, Project Management approach is used for control.

scholarly journals Excel Based Financial Modeling for Making Portfolio Management Decisions

2019 ◽  
Vol 11 (2(I)) ◽  
pp. 35-41
Author(s):  
Sree Rama Murthy
Keyword(s):  
Standard Deviation ◽  
Portfolio Selection ◽  
Portfolio Management ◽  
Correlation Coefficients ◽  
Sharpe Ratio ◽  
Powerful Method ◽  
Management Decisions ◽  
Financial Model ◽  
Financial Modeling ◽  
Using Data

The Excel based financial model proposed in this paper provides a very simple but powerful method for portfolio selection. Apart from a simple and powerful tool for making portfolio management decisions, the paper also proposes an easy to use technique for calculating portfolio standard deviation without using correlation coefficients. The model uses “Excel Solver Add-In” to create an optimum portfolio by maximizing the Sharpe ratio. Benefits of Sharpe style optimization are demonstrated using data on monthly returns from 1999 to 2010 covering 30 stocks.

Are Busy Directors Harmful or Helpful? Evidence from the Great Recession

2018 ◽  
Vol 18 (2) ◽  
Author(s):  
Pradit Withisuphakorn ◽  
Pornsit Jiraporn
Keyword(s):  
Standard Deviation ◽  
Financial Crisis ◽  
Great Recession ◽  
Firm Value ◽  
Costs And Benefits ◽  
Governance Mechanisms ◽  
Great Caution ◽  
Crisis Period ◽  
The Great Recession

Abstract We contribute to the debate on the costs and benefits of busy directors by investigating the effect of busy directors on firm value during a stressful time, i. e. during the Great Recession. Our results show that busy directors improve firm value significantly during the financial crisis. In particular, a rise in directors’ busyness by one standard deviation results in an improvement in Tobin’s q by 6.41 %. Directors with multiple board seats appear to help firms navigate the crisis more successfully, supporting the notion that multiple board seats signal higher quality. Outside the crisis period, however, we find that busy directors reduce firm value, consistent with many prior studies. Our results are crucial as they show that governance mechanisms function differently during stressful times than they do during normal times. Firms should exercise great caution before imposing limits on outside board seats on their directors.

scholarly journals An Empirical Study of Private Saving in Brazil

2003 ◽  
Vol 23 (1) ◽  
pp. 124-137 ◽  
Author(s):  
CLAUDIO PAIVA ◽  
SARWAT JAHAN
Keyword(s):  
Fiscal Policy ◽  
Empirical Study ◽  
Empirical Analysis ◽  
Latin American ◽  
Financial Market ◽  
Market Reforms ◽  
Private Saving ◽  
Private And Public ◽  
Additional Support ◽  
Latin American Countries

ABSTRACT This paper provides an empirical analysis of the determinants of private saving in Brazil during 1965-2000. Our estimates indicate that the degree of offset between private and public saving is relatively high, in line with evidence for other Latin American countries, although it may have started to decline in recent years. In any case, fiscal policy is identified as one of the main instruments to promote the much needed increase in national saving in Brazil. Additional support to savings could come from continued financial market reforms and trade diversification.

On the structure of multifactor optimal portfolio strategies

2018 ◽  
Vol 24 (3) ◽  
pp. 1043-1058
Author(s):  
Nikolai Dokuchaev
Keyword(s):  
Mutual Funds ◽  
Portfolio Selection ◽  
Optimal Strategies ◽  
Optimal Portfolio ◽  
Performance Criteria ◽  
Value Functions ◽  
Portfolio Strategies ◽  
Optimal Portfolio Selection ◽  
Admissible Strategies ◽  
Hamilton Jacobi Bellman

The paper studies problem of optimal portfolio selection. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. This implies dimension reduction for the optimal portfolio selection problem: all rational investors may achieve optimality using the same mutual funds plus a saving account. This result is obtained under mild restrictions for the utility functions without any assumptions on regularity of the value function. The proof is based on the method of dynamic programming applied indirectly to some convenient approximations of the original problem that ensure certain regularity of the value functions. To overcome technical difficulties, we use special time dependent and random constraints for admissible strategies such that the corresponding HJB (Hamilton–Jacobi–Bellman) equation admits “almost explicit” solutions generating near optimal admissible strategies featuring sufficient regularity and integrability.

scholarly journals Impact of Portfolio Strategies on Portfolio Performance and Risk

2018 ◽  
Vol 10 (1) ◽  
pp. 73
Author(s):  
Zunera Shaukat ◽  
Ahmad Shahzad
Keyword(s):  
Asset Allocation ◽  
Stock Prices ◽  
Sharpe Ratio ◽  
Portfolio Performance ◽  
Dynamic Asset Allocation ◽  
Portfolio Strategies ◽  
Tactical Asset Allocation ◽  
The Difference ◽  
Post Hoc ◽  
The Relationship

The Portfolio strategies are the effective investment tools pertaining to active and passive investment approaches. This signifies the investor’s inclination of buying and selling the risky and risk-free assets. The research includes four strategies namely buy and hold strategy, dynamic asset allocation, strategic asset allocation and tactical asset allocation along with their dimensions. Strategies based hypothetical portfolios are generated on the basis of 14 years’ stock prices (2005-2017). The annually and monthly risk-adjusted return ratios; Sharpe ratio, Treynor’s measure, CAPM and Jenson Alpha are calculated individually. Simulated annualized portfolios generate significant result with Sharpe and treynor measure. Alpha return is generated with buy and hold if based on growth in stock prices. For empirical result, One-way analysis of variance (ANOVA) is used for studying the relationship between the strategies. Post hoc Tukey’s test is applied to find the difference between the strategies. The ANOVA and Tukey’s post hoc test for monthly portfolios gives significant results with three measure Sharpe ratio, CAPM and Jenson Alpha. No empirical significant result is measured on the basis of treynor measure.

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