Research Article | OPEN ACCESS
Investigation and Analyzing Efficiency of Risk-adjusted Ratios in Portfolio Selection
1Ataie Younes and 2Rostamzadeh Parviz
1Department of Management and Accounting, Islamshahr Branch,
Islamic Azad University, Tehran, Iran
2Department of Financial Economy, Management and Economics Faculty,
Tarbiat Modares University, Tehran, Iran
Research Journal of Applied Sciences, Engineering and Technology 2013 6:2147-2155
Received: May 30, 2012 | Accepted: July 28, 2012 | Published: February 21, 2013
Abstract
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.
Keywords:
Portfolio management, portfolio selection, post-modern portfolio theory, risk-adjusted ratios,
Competing interests
The authors have no competing interests.
Open Access Policy
This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Copyright
The authors have no competing interests.
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ISSN (Online): 2040-7467
ISSN (Print): 2040-7459 |
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