List of Articles Post Modern Portfolio Measures

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  1 - Comparing Efficiency of Performance Evaluation Measures Based on Post Modern Portfolio Theory in Ranking Portfolio formed by Grid Strategy Model
  Hamidreza Vakilifard Shahram Babalooyan Mehrdokht Mozaffari
  This research aims to rank grid matrix model with performance evaluation by measures based on post modern portfolio and study the efficiency of these measures. Different types of portfolio resulting from grid matrix model are ranked by sortino ratio, omega ratio and pro More

  This research aims to rank grid matrix model with performance evaluation by measures based on post modern portfolio and study the efficiency of these measures. Different types of portfolio resulting from grid matrix model are ranked by sortino ratio, omega ratio and prospect ratio. Since Kolmogrove - Smirnov and Shapiro–Wilk tests don’t confirm the normality of monthly returns, so Non-Parametric tests – Spearman and Friedman Tests - applied. According to the results of these tests, not only no significant difference was found between rankings, but also was not endorsed a significant correlation between them. Therefore to study the efficiency of performance evaluation measures, portfolios performance evaluated over a period of 5 years and over a period of 2 years, the results of this evaluation investigated. For this purpose, Pearson Correlation Coefficient between evaluated and real ranks calculated and the two types of innovative portfolios made to show the efficiency of measures in general recognition of real ranks and top rated. As the result, prospect ratio shows best efficiency for ranking resulted portfolios from grid matrix model in Tehran Stock Exchange. Manuscript profile