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2013 (Vol. 5, Issue: 06)
Article Information:

Investigation and Analyzing Efficiency of Risk-adjusted Ratios in Portfolio Selection

Ataie Younes and Rostamzadeh Parviz
Corresponding Author:  Mitra AftabAzari 

Key words:  Portfolio management, portfolio selection, post-modern portfolio theory, risk-adjusted ratios, , ,
Vol. 5 , (06): 2147-2155
Submitted Accepted Published
May 30, 2012 July 28, 2012 February 21, 2013

The aim of this study is to analyze the efficiency of Risk-adjusted Ratios in portfolio selection in Tehran Stock Exchange. This study was performed on the companies that were active from 2006 until 2010. The winner and loser portfolio of 50 Top companies selected based on Risk-adjusted Ratios in Tehran Stock Exchange and then their performances were compared by the “mean difference” test “one-way Analysis of Variance” (ANOVA) and Tukey test. Results showed that there is a possibility of selecting an appropriate portfolio using of the Risk-adjusted Ratios. However M3 measure has better than the other two criteria and the market.
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  Cite this Reference:
Ataie Younes and Rostamzadeh Parviz, 2013. Investigation and Analyzing Efficiency of Risk-adjusted Ratios in Portfolio Selection.  Research Journal of Applied Sciences, Engineering and Technology, 5(06): 2147-2155.
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ISSN (Online):  2040-7467
ISSN (Print):   2040-7459
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