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:: Volume 5, Issue 4 (11-2015) ::
2015, 5(4): 103-117 Back to browse issues page
Portfolio performance evaluation in modified mean-variance models
Sh. Banihashemi , Sanei M.
Abstract:   (5788 Views)

The present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Huge amounts of money are being invested in financial market. As a result, portfolio performance evaluation has created a great deal of interest among people. We know that, for calculating portfolio variance measure based on mean-variance model, the covariance between each pair of the assets is not equal to zero. Consequently sharp’s single factor model is used with linear regression for efficiency evaluation in modified mean-variance models. Since the covariance between two stocks are not merely bound to the characteristics of the two stocks but these stocks are connected together through their relations to the market return, the total number of parameters that needs to be estimated is reduced.

Full-Text [PDF 450 kb]   (2696 Downloads)    
Type of Study: Research | Subject: Special
Received: 2016/04/10 | Accepted: 2016/04/10 | Published: 2016/04/10
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Banihashemi S, M. S. Portfolio performance evaluation in modified mean-variance models. International Journal of Applied Operational Research 2015; 5 (4) :103-117
URL: http://ijorlu.liau.ac.ir/article-1-485-en.html


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Volume 5, Issue 4 (11-2015) Back to browse issues page
ژورنال بین المللی پژوهش عملیاتی International Journal of Applied Operational Research - An Open Access Journal
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