Measurement of the Efficiency of the Stable Sharp Respect in Forecasting in Operation of the Optimized Portfolio
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2016, Vol 10, Issue 5
Abstract
One of the reasons of using the qualitative methods and models in the investment management is developing the financial economy. Development in the financial economy has been encountered with more progress through the concept of the optimization portfolio . In the present research the function of the classic optimization portfolio has been studied as the targeted function in the presence of the Sharp Ratio. This study has presented a stable developing model of portfolio in which the results of the optimization portfolio have been shown by the relevant corresponding stable formulizing procedure based on the Factor Model by using the stock market indexes as the input data and the test of the stability of the input parameters .To do this the input data were chosen in a given confidence interval based on the worst predetermined scenario in order to maximize the Sharp Ratio. In this research 178 monthly portfolio of Tehran Stock Exchange Market survey for a span of 15 years. The risk and return potentiality of each portfolio has been estimated based on both models of the Classic and Optimization Sharp Models. In the next level, a detailed survey has been done to investigate the probability of the existence of a significant difference between the risk and the anticipated return potentiality of these two models by using the mean-difference test. The results indicated that the anticipated return and risk in the Sharp Model has more significant differences with the anticipated return and risk in the Classic Model.
Authors and Affiliations
Mahnaz Khaledian| MSc. in Accounting, Faculty of Humanities, Hamadan Branch, Islamic Azad University, Hamadan, Iran. email: m.khaledian63@yahoo.com, Marzie Bayat| Prof. Scientific Board Limb of Accounting Administration, Faculty of Management, Islamic Azad University of Hamadan, Iran., Darush Javid| Accounting Dept, Hamadan Branch, Islamic Azad University, Hamedan , Iran.
Keywords
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