This is an analysis of the mutual funds in Turkey with respect to their risk-altering behavior. Using the monthly returns and volatilities of 133 funds from 2002 to 2007, we divide each year in two parts and check whether or not the funds’ performance in the first part affects the behavior of...

This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher...

Bu çalışmanın amacı Fama ve French üç faktör modeline momentum faktörünün eklenmesiyle oluşturulan dört faktör modelinin İMKB’de hisse senedi getirilerini açıklama gücünün test edilmesidir. Çalışma Temmuz 1992 – Haziran 2008 döneminde (192 ay) İMKB’ye kote olmuş...

Bu makale emeklilik fonu yöneticilerinin piyasa zamanlama stratejisi uygulayıp uygulamadıklarını doğrusal olmayan yumuşak geçişli modeller yöntemiyle araştırmakta ve piyasa zamanlama stratejisi uygulayan fonların değişen risk ve getiri performansını günlük veri kullanarak...

The financial theory related to the bond portfolio analysis was coined by Harry Markowitz, an authentic’ pioneer of the modern bond theory’, and his well-thought interpretation of the bond selection model may be found in his research papers “Portfolio Selection” (Markowitz M. Harry,...

The paper reveals a few relevant dimensions of the need of adopting for, and the characteristics, role, objectives, and scope of Global standard in investment performance.

Our paper provides a complete characterization of leverage and default in binomial economies with financial assets serving as collateral. First, our Binomial No-Default Theorem states that any equilibrium is equivalent (in real allocations and prices) to another equilibrium in which there is no...

The equilibrium prices in asset markets, as stated by Keynes (1930): "...will be fixed at the point at which the sales of the bears and the purchases of the bulls are balanced." We propose a descriptive theory of finance explicating Keynes' claim that the prices of assets today equilibrate the...

The equilibrium prices in asset markets, as stated by Keynes (1930): "...will be fixed at the point at which the sales of the bears and the purchases of the bulls are balanced." We propose a descriptive theory of finance explicating Keynes' claim that the prices of assets today equilibrate the...

We propose Keynesian utilities as a new class of non-expected utility functions representing the preferences of investors for optimism, defined as the composition of the investor's preferences for risk and her preferences for ambiguity. The optimism or pessimism of Keynesian utilities is...