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Articles 1 - 5 of 5
Full-Text Articles in Business
The Performance Of Stock Portfolios: Evidence From Analysing Malaysia Case, And Implication For Open Innovation, Ariful Hoque, Sharmeen Rakhi, Kamrul Hassan, Thi Le
The Performance Of Stock Portfolios: Evidence From Analysing Malaysia Case, And Implication For Open Innovation, Ariful Hoque, Sharmeen Rakhi, Kamrul Hassan, Thi Le
Research outputs 2014 to 2021
© 2020 by the authors. Licensee MDPI, Basel, Switzerland. This research examines the performance of the Islamic stock portfolio (ISP) and conventional stock portfolio (CSP) for the five industrial sectors and market in Malaysia. The capital asset pricing model statistics indicate that the ISP provides a higher return with a lower systematic risk compared to the CSP in different sectors; however, the ISP and CSP perform equally in the market. The non-parametric stochastic dominance approach reveals that the ISP is better than the CSP for portfolio return without considering the riskiness for all sectors except properties; further, the ISP outperforms …
Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis, David E. Allen, Michael Mcaleer, Robert J. Powell, Abhay Kumar Singh
Down-Side Risk Metrics As Portfolio Diversification Strategies Across The Global Financial Crisis, David E. Allen, Michael Mcaleer, Robert J. Powell, Abhay Kumar Singh
Research outputs 2014 to 2021
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in U.S. dollar terms, on a set of ten market indices representing the major European markets for a nine-year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GFC) and the subsequent European Debt Crisis (EDC), is a challenging one for the …
Vine Copula Modelling Of Dependence And Portfolio Optimization With Application To Mining And Energy Stock Return Series From The Australian Market, Jose Arreola Hernandez
Vine Copula Modelling Of Dependence And Portfolio Optimization With Application To Mining And Energy Stock Return Series From The Australian Market, Jose Arreola Hernandez
Theses: Doctorates and Masters
This thesis models the dependence risk profile, investment risk and portfolio allocation features of seven 20-stock portfolios from the mining, energy, retail and manufacturing sectors of the Australian market in the context of the 2008-2009 global financial crisis (2008-2009 GFC) and pre-GFC, GFC, post-GFC and full sample period scenarios revolving around it. The mining and energy portfolios are the base of the study, while the retail and manufacturing are considered for benchmarking purposes. Pair vine copula models including canonical vines (c-vines), drawable vines (d-vines) and regular vines (r-vines) are fitted for the analysis of …
Corporate Security: Using Knowledge Construction To Define A Practising Body Of Knowledge, David Brooks
Corporate Security: Using Knowledge Construction To Define A Practising Body Of Knowledge, David Brooks
Research outputs 2012
Security is a multidimensional concept, with many meanings, practising domains, and heterogeneous occupations. Therefore, it is difficult to define security as a singular concept, although understanding may be achieved by its applied context in presenting a domicile body of knowledge. There have been studies that have presented a number of corporate security bodies of knowledge; however, there is still restricted consensus. From these past body of knowledge studies, and supported by multidimensional scaling knowledge mapping, a body of knowledge framework is put forward, integrating core and allied knowledge categories. The core knowledge categories include practise areas such as risk management, …
An Investigation Into The Use Of Neural Networks For The Prediction Of The Stock Exchange Of Thailand, Suchira Chaigusin
An Investigation Into The Use Of Neural Networks For The Prediction Of The Stock Exchange Of Thailand, Suchira Chaigusin
Theses: Doctorates and Masters
Stock markets are affected by many interrelated factors such as economics and politics at both national and international levels. Predicting stock indices and determining the set of relevant factors for making accurate predictions are complicated tasks. Neural networks are one of the popular approaches used for research on stock market forecast. This study developed neural networks to predict the movement direction of the next trading day of the Stock Exchange of Thailand (SET) index. The SET has yet to be studied extensively and research focused on the SET will contribute to understanding its unique characteristics and will lead to identifying …