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Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework
Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: International journal of managerial finance : IJMF 9 (2013) 3, pp. 247-270
Persistent link: https://www.econbiz.de/10009764936
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Average drawdown risk and capital asset pricing
Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10010241626
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An extensile method on the arbitrage prising theory based on downside risk (D-APT)
Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: International journal of managerial finance : IJMF 10 (2014) 1, pp. 54-72
Persistent link: https://www.econbiz.de/10010250585
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Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework
Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) June, pp. 247-270
Purpose – This paper aims to evaluate the risk-adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M-DRM) based on the modern portfolio theory. The purpose is to report the...
Persistent link: https://www.econbiz.de/10010814595
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An extensile method on the arbitrage pricing theory based on downside risk (D-APT)
Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 10 (2014) January, pp. 54-72
Purpose – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study includes 163 stocks traded on the Malaysian...
Persistent link: https://www.econbiz.de/10010732410
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Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework
Mohammad Reza Tavakoli Baghdadabad; Glabadanidis, Paskalis - In: International journal of managerial finance : IJMF 9 (2013) 3, pp. 247-270
Persistent link: https://www.econbiz.de/10010147092
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Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework
Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) 3, pp. 247-270
Purpose – This paper aims to evaluate the risk‐adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M‐DRM) based on the modern portfolio theory. The purpose is to report...
Persistent link: https://www.econbiz.de/10014785582
Cover Image
An extensile method on the arbitrage pricing theory based on downside risk (D-APT)
Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 10 (2014) 1, pp. 54-72
Purpose – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study includes 163 stocks traded on the Malaysian...
Persistent link: https://www.econbiz.de/10014785727
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Average drawdown risk reduction and risk tolerances
Tavakoli Baghdadabad, Mohammad Reza - In: Research in economics : an international review of economics 68 (2014) 3, pp. 264-276
Persistent link: https://www.econbiz.de/10010510336
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Maximum drawdown and risk tolerances
Tavakoli Baghdadabad, Mohammad Reza - In: Review of Pacific Basin financial markets and policies 18 (2015) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011286060