List of Articles Sharpe ratio

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  1 - Portfolio Optimization in Capital Market Bubble Condition
  Abdollah Daryabor frydoon Rahnama Roodposhti Hashem Nikoomaram Farhad Ghaffari
  Financial markets, especially capital markets, are considered the main tools for equipping and allocating financial resources. With regard to the strategic, financial and economic importance of such markets, whenever a widespread disruption or deviation occurs, it becom More

  Financial markets, especially capital markets, are considered the main tools for equipping and allocating financial resources. With regard to the strategic, financial and economic importance of such markets, whenever a widespread disruption or deviation occurs, it becomes extremely difficult to equip and allocate a country’s financial resources. One of the contributing factors is price bubble. In fact, the essence of price bubbles lies in the reactions to price hikes. Thus, the increase in prices leads to greater investor appetite, higher demand and ultimately another price hike.In such occasions, the investment managers plan to optimize their stock portfolios. In other words, they intend to bring about maximum return for customers and shareholders in exchange for a certain level of risk. This study attempted to examine several variables such as stock price, stock monthly return, overall market return, variance, standard deviation, var and Downside Risk to a new model within the bubble space at Tehran Stock Exchange (TSE) for period (2000-2015). At first, the effects of bubble were proven and the junctures were identified for 7 periods. Then, the variables were analyzed to achieve an optimization model, adopting an approach similar to Sharpe’s, where the extracted optimum portfolio brought about a far more desirable position for the investors than other portfolios under non-bubble conditions involving return, Sharpe, Treynor and Jensen. The main hypothesis was proven and a new model was proposed to achieve the ideal results through analyzing the model within an ascending bubble space as well as a descending bubble space, which were then compared against a non-bubble space. Manuscript profile
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  2 - Robust model for optimal portfolio selection
  Saeed Fallahpour Farid Tondnevis
  In this paper, we developed robust optimization approach that departs from the randomness assumption used in other methods of optimization under uncertainty and describe uncertainty in parameters through uncertainty sets; for portfolio selection problem. The model can c More

  In this paper, we developed robust optimization approach that departs from the randomness assumption used in other methods of optimization under uncertainty and describe uncertainty in parameters through uncertainty sets; for portfolio selection problem. The model can control the conservativeness of investor for portfolio selection by a defined parameter. We used 50 active company of Tehran exchange stock in 3 first months of 1392 to study the performance of model. The results of paired comparisons in out of sample experiments shows that Markowitz portfolio which has same expected return by robust portfolio, has lower Sharpe ratio. Manuscript profile
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  3 - Comparison of profitability of speculation in the foreign exchange market and investment in Tehran Stock Exchange during Iran's currency crisis using conditional Sharpe ratio
  Mohsen Mehrara Saeid Tajdini
  10.22034/amfa.2020.1881227.1317
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  4 - The Role of Accruals, Cash Flows and their Information Content in Operating Profitability of the Stock Returns
  Razieh Fatehpour Jalil Farokhi
  Different criteria have been offered so far to evaluate the performance of commercial units and at the time being the most usual and the most important criterion of performance evaluation and profitability of the institutes is the stock return which has a key role in in More

  Different criteria have been offered so far to evaluate the performance of commercial units and at the time being the most usual and the most important criterion of performance evaluation and profitability of the institutes is the stock return which has a key role in investment. This criterion alone has had information content for the investors and is used to evaluate the performance and operations of a commercial unit. Whenever this criterion declines, it will be an alarm for the company and indicates that the company performance is not appropriate. This study aims to examine the role of components of cash flows and accruals and their information content in anticipating the stock return. The time period of the research consisted of 5 consecutive years from 2009 to 2014 and the research sample consists of 154 companies listed in Tehran Stock Exchange. In the current study the hypotheses testing method is panel data which was carried out with the use of software EVewis8, R3.1, SAS 9.4 and EXCEL2010 and according to the output of the software, the significance of the relationships between variables was investigated. The sample test results show that the cash component and profit accrual have a significant impact on future stock returns, but the effect of accrual component is larger than that of cash component. Also the results indicate that the effect of accrual component on future stock returns is significantly different from the effect rate of profit cash flow on future stock returns of companies with different Sharpe Ratio. The companies with higher Sharpe ratio, receive returns with lower risk. Manuscript profile
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  5 - Multi-Asset Portfolio Optimization based on Conditional Value at Risk using Artificial Bee Colony Algorithm
  Somayeh Mousavi Abbasali Jafari-Nodoushan Marzieh Kazemi-Rashnani Mahsa Mohammadtaheri
  Multi-asset portfolio management and optimization have always been of interest to investors. Due to the inflation in Iran market, different performance of the asset classes in different market conditions and the ability to earn more profit along with less risk by divers More

  Multi-asset portfolio management and optimization have always been of interest to investors. Due to the inflation in Iran market, different performance of the asset classes in different market conditions and the ability to earn more profit along with less risk by diversifying the types of assets, it seems necessary to select a portfolio consisting of stocks, foreign currency and commodities. In this paper, assets of the above categories, including Emami coins, American dollar, and 11 sector indices, are considered in the portfolio composition. Due to the importance of the risk measure in multi-asset portfolio optimization, a model with conditional value at risk, the historical simulation approach has been extended and its efficiency has been compared with the mean-variance model. The models have been solved using the artificial bee colony and imperialist competitive algorithms. The daily asset prices in the period 2013 to 2020 have been used to evaluate the models in Iran market. Results show that the mean-conditional value at risk model performs better than the mean-variance in the training and testing periods. Furthermore, optimized portfolios with the artificial bee colony algorithm could outperform the imperialist competitive algorithm based on the Sharpe ratio, conditional Sharpe ratio, and return on risk. Manuscript profile
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  6 - Pairs trading based on wavelet decomposition
  bahareh zarintaj saeed aghasi forozan baktash
  In the current research,wavelet analysis is used to analyze the time series of prices in a pair of assets into general and detailed time series, and the property of collocation between different and corresponding levels of analysis of two series is checked in order to f More

  In the current research,wavelet analysis is used to analyze the time series of prices in a pair of assets into general and detailed time series, and the property of collocation between different and corresponding levels of analysis of two series is checked in order to find collinear pairs at different levels of analysis. And then its profitability is examined. In this research, the profitability of the pair trading system based on wavelet analysis was investigated on 14 indices of the Tehran Stock Exchange betwee 2013-2022. The results show that for the second level of detail in the wavelet analysis, the results are quite impressive and the number of trading positions is more than doubled, the daily return is increased to four times and the Sharpe ratio is also increased to about two times. The system formed based on the first level of detail also has a better profitable performance than the normal aggregation, and the performance of the third level of detail is within the limits of aggregation. In addition, the average duration of the transaction also shows significant decrease in the first and second levels. Profitability performance at the level of general series is generally weaker than the aggregate. Manuscript profile