This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR …). Hereinafter, the performance of selected portfolio (based on their rank) were evaluated (Sharpe-Index, Treynor-Index, and Jensen …-Apha). The evaluation result conclude that stock portfolio formed refer to their market capitalization and composite of market …

portfolio constructed by Treynor Index, Jensen-Alpha, and Sharpe Index. The final sample is the past and present member of LQ-45 … public companies. Following Fama and French (1993), we form a factor-mimicking portfolio that essentially goes long on low … accruals firms and short on high accruals firms (Conservative Minus Aggressive, or CMA). Since the portfolio is constructed …

) three factor model holds for the Indonesian Stock Exchange and more robust than CAPM in non-financial stock, in portfolio …

GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of … wealth in non-financial assets and 10% in financial assets. Risk aversive investor who goes for the minimum risk portfolio … optimum risk portfolio. In effect, there is a reward for risk on the GSE but the Markowitz optimization strategy never exceeds …

resource allocation, an innovative learning algorithm will used to select and optimize portfolio in Tehran Stock Exchange. a …

Many theories of portfolio management have been yet presented. In this research, we survey the efficiency and … effectiveness of two well-known theories, the modern theory of portfolio and the postmodern theory of portfolio, by making use of … popular ratios of Sharpe and Sterling. We evaluate the performance of investment companies, with active portfolio management …

The aim of this study is to evaluate the functionality and effect of portfolio management of investment companies …, which have had the active portfolio in Tehran stock exchange from 2005-2010. In order to do so, and assess their performance … based on modern and post modern portfolio theories; this has been carried out by using Sharp, Sortino and Sterling ratios …

better asset pricing model. This study aims to provide an overview of the establishment of a stock portfolio with a … portfolio is formed …