تحليل العائد والمخاطر لأسهم المحفظة الاستثمارية لعينة المصارف التجارية العراقية الخاصة للمدة 2015-2019

The importance of the research lies in revealing the ability of private Iraqi commercial banks to maximize bank returns by attracting investments in the Iraq Stock Exchange, and the aim of the research is to how to manage the investment portfolio of private Iraqi commercial banks in the Iraq Stock Exchange and in a manner that achieves the highest return and the least risk, in addition In order to know which of those banks has an optimal portfolio, the research assumed that there was an effect of forming an investment portfolio in maximizing the return and reducing the risks for the banks. Statistical methods such as the variance rate, standard deviation and (beta) coefficient were used in measuring the return and risk of stocks to analyze the data. In the fluctuation of the achieved return of shares and the achieved return of the market from one year to another within the period, as well as the change in risk for bank shares from one year to another and during the period and the researcher made some proposals in the form of recommendations to increase the effectiveness of these banks in their investments, the most important of which was how to manage the investment portfolio in banks and increase investment awareness The investors and the need to adhere to the instructions of the Iraq Stock Exchange, as well as work to attract harm Invest in order to increase circulation in the market.

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Form the Optimal Investment Portfolio Applied Study in the Jordanian Banking Sector (2013-2017)

International Business Research ◽

10.5539/ibr.v13n3p79 ◽

2020 ◽

Vol 13 (3) ◽

pp. 79

Author(s):

Suleiman Daood Al-Oshaibat ◽

Daood Al-Oshaibat

Keyword(s):

Commercial Banks ◽

Banking Sector ◽

Stock Exchange ◽

Optimal Investment ◽

Effective Rate ◽

Rate Of Return ◽

Investment Portfolio ◽

Applied Study ◽

Securities Analysts ◽

Amman Stock Exchange

The study aimed to form the optimal investment portfolio in the Jordanian banking sector. The research covered a period (2013-2017) and the sample of the study was selected from its community of Jordanian banks listed on the Amman Stock Exchange, consisting of (15) working banks for which the necessary data are available to study. The importance of the research lies in the formation of a thought and methodology that can be applied and utilized by investors and securities analysts in the management of their investment portfolio. The study shows that the effective rate of return is higher than the required rate of return in the Jordanian commercial banks. This indicates that the commercial banks have succeeded in their estimates of the required or actual rate of return for the optimal investment portfolio banks. the correlation matrix between returns on each bank in the investment portfolio is mostly low, which confirms that the investment portfolio of Jordanian banks is efficient, as Markowitz stressed on his focus on the correlation coefficient between returns and its impact on the return and risk of the optimal investment portfolio that achieve the highest return at a certain level of risk.

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Risk and Return Analysis of Commercial Banks of Nepal (with reference to NABIL and NIBL)

Pravaha ◽

10.3126/pravaha.v24i1.20231 ◽

2018 ◽

Vol 24 (1) ◽

pp. 109-119

Author(s):

Laxman Raj Kandel

Keyword(s):

Commercial Banks ◽

Stock Exchange ◽

Secondary Data ◽

Common Stock ◽

Risk And Return ◽

Scientific Methods ◽

The Past ◽

Stock Investment ◽

Beta Coefficient ◽

Past Data

This paper analyze the risk and return on common stock investment of Nepalese stock market and it is focused on common stock of two commercial banks listed in Nepal stock exchange Limited. Investors have varying perception towards risk and enterprising activities. They invest in those opportunities which have certain degree of risk associated with it. This research study found that there is a positive relationship between risk and return. Most of the investors are risk averter. It suggest to construct appropriate portfolio instead of investment in a single security which would be able to reduce unsystematic or diversifiable risk. The secondary data which was collected from NEPSE website (www.nepalstock.com), previous studies, NRB publications and publication of selected commercial banks, website of security board of Nepal (SEBO), Journals and internet. Both quantitative and qualitative analysis has been analyzed by using scientific methods. After the analysis of risk and return of sample bank and based on the past data of their last five fiscal years i.e. (FY-2012/13 to FY-2016/17), it is concluded that all the commercial banks are very much risky with fluctuated rate of return. From the findings of beta coefficient of each sample bank, the C.S. of NABIL is seems very much volatile than NIBL stock. It was also found that both selected bank have a high proportion of unsystematic risk.Pravaha Vol. 24, No. 1, 2018, Page: 109-119

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Portfolio Optimization of the Mean-Absolute Deviation Model of Some Stocks using the Singular Covariance Matrix

International Journal of Recent Technology and Engineering - 2 ◽

10.35940/ijrte.c6363.098319 ◽

2019 ◽

Vol 8 (3) ◽

pp. 7818-7822

Keyword(s):

Portfolio Optimization ◽

Covariance Matrix ◽

Stock Exchange ◽

Optimal Portfolio ◽

Risk Level ◽

Mean Absolute Deviation ◽

Investment Portfolio ◽

Absolute Deviation ◽

Singular Covariance Matrix ◽

The Mean

Investing in the stock sector, investors often face risk problems. Usually, forming an investment portfolio is done to minimize risk. In this research, investment portfolio optimization is discussed. The data analyzed are 8 shares traded on the capital market in Indonesia through the Indonesia Stock Exchange (IDX). Optimization is performed using the Mean-Absolute Deviation model with the singular covariance matrix to determine the optimal weights. The results of portfolio optimization Mean-Absolute Deviation model with singular covariance matrix method, was obtained optimal portfolio weights that is of 17.22% for BBCA shares; 26.64% for TKIM shares; 9.96% for BBRI shares; 9.96% for BBNI shares; 8.70% for BMRI shares; 3.75% for ADRO shares; 6.52% for GGRM shares; and 17.25% for UNTR shares. Where the optimal portfolio composition is obtained the expected rate of return (expected return) of 0.18% with a portfolio risk level (standard deviation) of 0.07%.

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INVESTMENT PORTFOLIO OPTIMIZATION BY APPLYING A GENETIC ALGORITHM-BASED APPROACH

Ekonomika ◽

10.15388/ekon.2017.2.10998 ◽

2017 ◽

Vol 96 (2) ◽

pp. 66-78 ◽

Cited By ~ 1

Author(s):

Petras Dubinskas ◽

Laimutė Urbšienė

Keyword(s):

Genetic Algorithm ◽

Portfolio Optimization ◽

Stock Exchange ◽

Optimization Approach ◽

Investment Portfolio ◽

Market Index ◽

Key Issues ◽

Genetic Algorithm Approach ◽

One Year ◽

Investment Portfolio Optimization

The investment portfolio optimization issues have been widely discussed by scholars for more than 60 years. One of the key issues that emerge for researchers is to clarify which optimization approach helps to build the most efficient portfolio (in this case, the efficiency refers to the minimization of the investment risk and the maximization of the return). The objective of the study is to assess the fitness of a genetic algorithm approach in optimizing the investment portfolio. The paper analyzes the theoretical aspects of applying a genetic algorithm-based approach, then it adapts them to practical research. To build an investment portfolio, four Lithuanian enterprises listed on the OMX Baltics Stock Exchange Official List were selected in accordance with the chosen criteria. Then, by applying a genetic algorithm-based approach and using MatLab software, the optimum investment portfolio was constructed from the selected enterprises. The research results showed that the genetic algorithm-based portfolio in 2013 reached a better risk-return ratio than the portfolio optimized by the deterministic and stochastic programing methods. Also, better outcomes were achieved in comparison with the OMX Baltic Market Index. As a result, the hypothesis of the superiority of a portfolio, optimized on the basis of a genetic algorithm, is not rejected. However, it should be noted that in seeking for more reliable conclusions, further research should include more trial periods as the current study examined a period of one year. In this context, the operation of the approach in the context of a market downturn could be of particular interest.

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INVESTMENTS IN COMPANIES WITH NEGATIVE EQUITY: THE RETURN IS WORTH THE RISK?

Revista Gestão Organizacional ◽

10.22277/rgo.v14i2.5637 ◽

2021 ◽

Vol 14 (2) ◽

pp. 229-250

Author(s):

José Antonio Cescon ◽

Roberto Frota Decourt ◽

Luciana de Andrade Costa

Keyword(s):

Stock Exchange ◽

Efficient Market Hypothesis ◽

Investment Portfolio ◽

Academic World ◽

Risk And Return ◽

One Year ◽

Stock Indexes ◽

Risk Investment ◽

The Universe ◽

Similar Risk

This study analyzed the return and risk of an investment portfolio, composed only of shares of companies listed in B3 that presented Negative Equity (NE), in the period from 1998 to 2019. Considering the Efficient Market Hypothesis (FAMA, 1970), the rationality of investors, the stock market on the stock exchange, in relation to companies with PLN, theoretically should not be active or provide abnormal positive returns to investors, since, technically, companies would be insolvent. The method used was to build a portfolio for assets that had at least one year of trading on the stock exchange and had NE in this period. The number of shares (assets) was fluctuating, starting with 2 and ending with 44 shares. The results of the Portfolio were compared to a risk-free investment (Interbank Deposit Certificate – CDI) and a similar risk investment (Brasil 50 Index - IBrX50), this as a control portfolio. The results found indicate that it is possible to obtain abnormal positive results, but do not meet the risk and return ratio when compared to a risk-free investment. However, when compared to other risky investments, investing in companies with NE may make sense, since a portfolio with no judgment criteria presents a more attractive risk and return ratio than stock indexes. This study contributes to the literature, as it brings to the academic world the universe of companies with NE, notably concerning the returns that these companies can provide to investors and, also for being an unprecedented study in this approach in Brazil.

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DIVERSIFIKASI SAHAM DENGAN MODEL MARKOWITZ SEBAGAI DASAR PENETAPAN PORTOFOLIO OPTIMUM (Studi kasus pada Sektor Perbankan di Bursa Efek Indonesia)

10.31227/osf.io/2ms59 ◽

2019 ◽

Author(s):

Veronica Dwi Anggraeni ◽

Aan Soelehan

Keyword(s):

Central Asia ◽

Stock Price ◽

Banking Sector ◽

Stock Exchange ◽

Optimal Portfolio ◽

Minimal Risk ◽

Risk And Return ◽

Markowitz Model ◽

One Year ◽

High Level

Rational investors will invest their funds in stocks efficiently, which stocks that have a high returnwith minimal risk. It case may be to combine the two assets into the optimal shares. The sample in thisstudy using the active stocks in the Indonesia Stock Exchange. The objective of this research is todiversify the stock in the banking sector to establish a optimum portfolio of Markowitz’s model.The results showed there where 15 stocks that become candidates portfolio of 30 stocks studiedby method of analysis of Markowitz. Their conclusion is that a rasional investor would invest fund intothe optimal portfolio. The satisfaction of investor in invest their funds to the optimal portfolio which is thefirst factor in an optimal portfolio to get the optimal, so the highest utility is from 5 stock in a bankingsector and there are Bank Mayapada Tbk. which has a utility of 73,38%, Bank Rakyat Indonesia Tbk.which has a utility of 36,31%, Bank Central Asia Tbk. which has a utility of 36,56%, Bank CapitalIndonesia Tbk. which a utillity of 30,86%, Bank Tabungan Pensiun Nasional Tbk. which has a utility of32,59%. Shares of the stock price file obtained from a one year study period in 2011.from the results ofresearch conducted it can be concluded that there are significant differences between the utility of 5 stockfrom the 30 stock of list in a banking sector. So the optimal portfolio in this study is formed by stocks thathave the highest return at a relatively high level of risk.The differences between risk and return is the coeficient varian of the 5 stock suggest fromthehighest utility, so the result is the little coeficient varian to get the optimal return as a compare betweenrisk will accept. And Bank Central Asia Tbk. which has a coeficient varian of 171,22%, with returnshares of 37,11%, and varian share of 0,33%, which has a expectation of varian shares of 5,77%.Keyword: Stock Diversification, Markowitz model, Optimum Portfolio

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Study and Analysis of Optimal Portfolio of Investment in Banks

Journal of Enterprise and Business Intelligence ◽

10.53759/5181/jebi202101009 ◽

2021 ◽

pp. 71-78

Author(s):

Shibu Thomas Refai ◽

Fathy Al Gamel

Keyword(s):

Commercial Banks ◽

Return On Investment ◽

Financial Analysis ◽

Stock Exchange ◽

Investment Portfolio ◽

Return On Equity ◽

Independent Variable ◽

The Impact ◽

The Relationship ◽

Simple Regression

The current research aims to study and analyze the investment portfolio in banks and how to manage, study and analysis on the Iraqi banks period 2010-2018 to show the impact of the efficiency of the management of investment portfolio on the profitability of commercial banks listed on the Iraqi Stock Exchange. The study was conducted on all Iraqi commercial banks listed in the Iraqi financial market, where the researcher first calculated the 2012 index and the risk of the investment portfolio and the return of the investment portfolio, the banks, which represent the independent variable, return on investment and return on equity, and the risk-free return as control and subsidiary variables. A financial analysis aimed at identifying the effect of the efficiency of the management of the investment portfolio on the profitability of commercial banks. The results of the analysis were identical with the results of the statistical analysis, which was performed using the simple regression equation and multiple regression to identify the effect and correlation coefficient Pearson to identify the relationship between the independent variable and the dependent variable. The main results of the study were the absence of statistically significant impact on the level of risk-free return on The return on investment and the return on equity and the absence of statistically significant impact at the same level of return on the investment portfolio on both the return on investment and the return on equity and the exi

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THE EFFECT OF ZAKAT AND ISLAMIC CORPORATE SOCIAL RESPONSIBILITY (ICSR) ON COMPANY PERFORMANCE (Empirical Study of Sharia Commercial Banks Listed on the Indonesia Stock Exchange on 2013-2017)

Indonesian Journal Of Business And Economics ◽

10.25134/ijbe.v2i1.1942 ◽

2019 ◽

Vol 2 (1) ◽

Author(s):

Eva Fauziah Ahmad

Keyword(s):

Corporate Social Responsibility ◽

Social Responsibility ◽

Commercial Banks ◽

Stock Exchange ◽

Descriptive Analysis ◽

Company Performance ◽

Simultaneous Test ◽

Sample Data ◽

Public Banks ◽

Corporate Social

The aims of the Research is to examine the influence of zakat and Islamic Corporate Social Responsibility (ICSR) about effort of the companies in Sharia public banks enrolled on the Indonesia Stock Exchange in 2013-2017The method of the Research are used descriptive analysis techniques and verificative analysis. The population of the Research were 12 Sharia Retail Bank that has been enrolled on the Indonesia Stock Exchange in 2013-2017. The sample of this Research were 8 Islamic Commercial Banks multiplied by 5 years observation into 40 sample data, and the technique were used purposive sampling. The analytical instrument are used multiple regression analysis with the help of SPSS version 21.0The Results are showed that partially zakat had an effect on effort of the company, while ICSR had no effect on it. Simultaneous test shows that zakat and ICSR have an effect on effort of the company.

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ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

JEM17: Jurnal Ekonomi Manajemen ◽

10.30996/jem17.v4i2.3023 ◽

2019 ◽

Vol 4 (2) ◽

Author(s):

Mochamad Andik Firmansyah

Keyword(s):

Stock Exchange ◽

Optimal Portfolio ◽

Rate Of Return ◽

Portfolio Risk ◽

Expected Return ◽

Purposive Sampling ◽

Single Index ◽

Index Model ◽

Market Return ◽

Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

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Home ownership in Saudi Arabia: Spatial Dimensions

10.31124/advance.7106306.v1 ◽

2018 ◽

Author(s):

Asharaf Abdul Salam

Keyword(s):

Saudi Arabia ◽

Standard Deviation ◽

Detailed Analysis ◽

Statistical Methods ◽

Home Ownership ◽

Ownership Type ◽

Chi Square ◽

Spatial Dimensions ◽

One Way Anova

This paper undertakes a detailed analysis of 2010 Census Population and Household Tables (Final), to assess governorate wise variations in home ownership, type of living accommodations and housing infrastructure - material used for construction, electricity, water and sewage facilities. The data published by the Ministry of Economics and Planning in its “Population and Housing, 2010 Census” analyzed in detail using SPSS20, applying statistical methods such as, cross tabulations and chi-square; mean and standard deviation; and One-Way ANOVA. Governorates classified into small, medium and large, according to the number of Saudi persons, have been analyzed across 13 regions quantifying homeownership status. Further governorates are classified according to the percentage of owning homes in order to analyze the type of living accommodations, built up material of housing, source of electricity, water and sewage facilities.

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