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Abstract
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Article Information:
Investigation and Analyzing Efficiency of Risk-adjusted Ratios in Portfolio Selection
Ataie Younes and Rostamzadeh Parviz
Corresponding Author: Mitra AftabAzari
Submitted: May 30, 2012
Accepted: July 28, 2012
Published: February 21, 2013 |
Abstract:
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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.
Key words: Portfolio management, portfolio selection, post-modern portfolio theory, risk-adjusted ratios, , ,
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Abstract
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Cite this Reference:
Ataie Younes and Rostamzadeh Parviz, . Investigation and Analyzing Efficiency of Risk-adjusted Ratios in Portfolio Selection. Research Journal of Applied Sciences, Engineering and Technology, (06): 2147-2155.
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ISSN (Online): 2040-7467
ISSN (Print): 2040-7459 |
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