Se explora el efecto en términos de eficiencia de portafolio (en media y varianza) de la entrada en vigencia del Mercado Integrado Latinoamericano (MILA). El análisis se basa en la construcción de una razón de Sharpe con ...

This work presents a contribution to the study of the relationship between risk and return in recommended portfolios by different brokerage firms that operate in Brazil. It seeks help the individual investor, who wants to ...

The objective of this paper is to evaluate the performance of the Standard and Poor’s 500 by sector based on the Modern Portfolio Theory. It begins with the definition of some basic math concepts which are important when ...

The Sharpe Ratio is probably the most widely known and used performance measure for mutual fund evaluation. However, it is based on the mean-variance theory and thus it is valid either for Normal returns or for quadratic ...

This study aims to analyze which alternative obtained the best risk/return ratio: the Real Estate Investment Funds Index (IFIX) using the Markowitz portfolio selection model to find the efficient portfolio or the Commercial ...

This explorative study is about the influencing effects of US macroeconomic announcements on changes in systematic risk with the focus on the difference between emerging and developed markets. Seven different US macroeconomic ...

Recent literature in performance evaluation has focused on preferences and characteristics of returns' distribution that go beyond mean and variance world. However, Eling (2008) compared the Sharpe ratio with some of these ...