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Seeking the diversification benefits with foreign equities and commocities : the case of Polish investor

Kurach, Radoslaw - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 3, pp. 26-36

USD prices into PLN ones. This phenomenon increases the potential for risk reduction of Polish investor. -- foreign …

Persistent link: https://www.econbiz.de/10010078130

Do consumer attitudes matter in capital markets? : a study of mutual funds in Oman market

Tahseen, Arshi A.; Narayana, Surya - In: Journal of finance and investment analysis 1 (2012) 1, pp. 107-126

. Consumer attitudes towards financial investments have always been a challenge for the finance companies due to limited risk …

Persistent link: https://www.econbiz.de/10010079543

DrawDown constraints and portfolio optimization

Davidsson, Marcus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 93-105

The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has … been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in … risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer …

Persistent link: https://www.econbiz.de/10010079544

Enhancement of the bond portfolio immunization under a parallel shift of the yield curve

Hanan, Jaffal; Adnan, Yassine; Yves, Rakotondratsimba - In: Journal of finance and investment analysis 1 (2012) 2, pp. 221-248

Hedging under a parallel shift of the interest rate curve is well-known for a long date in finance literature. It is based on the use of a duration-convexity approximation essentially pioneered by Fisher-Weil [2]. However the situation is inaccurately formulated such that the obtained result is...

Persistent link: https://www.econbiz.de/10010079548

Project selection of robust portfolio models with incomplete information

Zhou, Dongyue; Huang, Honglan; Teng, Chenyu; Zhao, Peibiao - In: Journal of finance and investment analysis 1 (2012) 2, pp. 157-199

Robust Portfolio Modeling (RPM) Theory is a decision-support methodology to analyze multiple criteria project portfolio …

Persistent link: https://www.econbiz.de/10010079550

An empirical analysis of momentum profitability, seasonality, and reversibility at Nairobi Stock Exchange

Lishenga, Lisiolo - In: Journal of finance and investment analysis 1 (2012) 3, pp. 73-98

In this thesis, we employed data from the NSE to investigate the existence of the price momentum effect, the profitability of momentum trading strategies, and the possibility of seasonal and reversal patterns in the profitability. We formed relative strength strategies for all stocks listed over...

Persistent link: https://www.econbiz.de/10010079566

Inflation risk and asset class performance

Washer, Kenneth; Dunham, Lee - In: Journal of finance and investment analysis 1 (2012) 3, pp. 61-72

it also improves Sharpe ratios when added to traditional stock/bond portfolios. -- inflation risk ; alternative asset …

Persistent link: https://www.econbiz.de/10010079567

Short-term stock price reversals may be reversed

Kudryavtsev, Andrey - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 129-146

In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...

Persistent link: https://www.econbiz.de/10010097636

Market reaction to financial statement restatement : a study on the information and insurance role of auditors

He, Li-jen; Chiang, Hsiang-tsai - In: Advances in management & applied economics 3 (2013) 4, pp. 37-50

Although researches have extensively studied the relationship between audit quality and financial reporting, little has been said about the consequences to auditors of financial reporting failure in terms of impairment of the audit information role. Based in Taiwan’s unique setting, we...

Persistent link: https://www.econbiz.de/10010148061

Cross subsidization and its effect on Pakistani business group’s affiliated firm performance

Gohar, Raheel - In: Journal of applied finance & banking 3 (2013) 3, pp. 207-217

This study provides a contribution to the existing literature on the role of business groups in the world and in Pakistan in particular. The analysis shows that stock market and accounting performance measures of Pakistani group unaffiliated firms are significantly superior to those of...

Persistent link: https://www.econbiz.de/10010148082