Finans yazınında, Markowitz Ortalama Varyans portföy optimizasyon modeli için bazı
problemler söz konusudur. Bu problemlerden biri olan optimizasyon hesaplamalarında …

Purpose–This paper aims to evaluate the risk‐adjusted performance of Malaysian mutual
funds using optimized drawdown risk measures (ODRMs) based on modern portfolio theory …

Purpose–This paper aims to evaluate the risk‐adjusted performance of the management
styles of Malaysian mutual funds using nine modified performance evaluation measures …

This paper aims to evaluate the risk-adjusted performance of Malaysian mutual funds using
the modified performance evaluation ratios by the drawdown risk measure (DRM) based on …

Purpose–The purpose of this paper is to appraise the risk‐adjusted performance of
international mutual funds using measures generated by the optimized variance (OV), and to …

The Black and Litterman model (1992) for estimating asset returns is widely used in industry
and has been widely studied in the academic and professional literature. Black and …

Purpose–The purpose of this paper is to provide an attempt to evaluate the risk-adjusted
performance of international mutual funds using the risk statistic generated by the mean …

This paper aims to compare two portfolio selection models: the mean-variance (MV) model,
introduced by Markowitz, and the mean absolute deviation (MAD) model, proposed by …

Time is coming to celebrate the 60th anniversary from the pioneering work of Markowitz on
portfolio selection. His main contribution was to understand that investment decisions did not …

Many sectors of industry (mechanical, chemistry, telecommunication, environment, transport,
etc.) are concerned with complex problems of large dimensions that must be optimized …