Mutual fund systematic risk for bull and bear markets: an empirical examination
FJ Fabozzi, JC Francis - The journal of Finance, 1979 - JSTOR
THE QUESTION OF THE STABILITY of the systematic risk, or beta coefficient, for mutual
funds over bull and bear market conditions has been debated in the literature [22, 23, 24, 25 …
funds over bull and bear market conditions has been debated in the literature [22, 23, 24, 25 …
The performance of beta in forecasting portfolio returns in bull and bear markets using alternative market proxies
WP Dukes, OD Bowlin, SS MacDonald - Quarterly Journal of Business and …, 1987 - JSTOR
This paper shows the risk-return relationships for stock portfolios during bull and bear
markets using alternative market proxies. The findings support the concept of beta …
markets using alternative market proxies. The findings support the concept of beta …
Stability of alphas and betas over bull and bear markets: An empirical examination
D Chawla - Vision, 2003 - journals.sagepub.com
This paper examines the influence of bull and bear markets on the stability of alpha and beta
for the single index market model. The data for the study is collected for the period March 01 …
for the single index market model. The data for the study is collected for the period March 01 …
Distribution-free non-parametric asset pricing
D Zibriczky - 2016 - search.proquest.com
One of the most well known theories in finance is the Modern Portfolio Theory (MPT) that
was developed in the 1950s (Markowitz, 1952). MPT attempts to capture the risk of an …
was developed in the 1950s (Markowitz, 1952). MPT attempts to capture the risk of an …
Entrópia mint pénzügyi kockázati mérték
M Ormos, D Zibriczky - SZIGMA, 2015 - real.mtak.hu
Az entrópiát, mint pénzügyi kockázati mértéket vizsgáljuk. Dolgozatunkban bemutatjuk, hogy
az értékpapírok és portfóliók napi hozamán mért differenciális entrópia alkalmas azok …
az értékpapírok és portfóliók napi hozamán mért differenciális entrópia alkalmas azok …
[PDF][PDF] 1 Bevezet¶ es
X Szigma - EL} OSZ¶ O - real-j.mtak.hu
Az AHP (Analytic Hierarchy Process) a tÄobbszempont¶ u dÄont¶ esi probl¶ em¶ ak kezel¶
es¶ ere alkalmas elj¶ ar¶ as. Kulcseleme ap¶ aronk¶ enti Äosszehasonl¶ ³t¶ asok {m¶ ask¶ …
es¶ ere alkalmas elj¶ ar¶ as. Kulcseleme ap¶ aronk¶ enti Äosszehasonl¶ ³t¶ asok {m¶ ask¶ …
[CITATION][C] Variable risk and the term structure
PJ Abbondante - 1978 - Virginia Polytechnic Institute and …
[CITATION][C] Performance Evaluation of Sources of Investment Research
TM Tole, R Ford - Financial Review, 1977 - Wiley Online Library
The pioneering work of Markowitz [161, Tobin [24], and Lintner [13] in the early development
of portfolio theory has been widely acclaimed by the academic community. Sharpe [Zl] …
of portfolio theory has been widely acclaimed by the academic community. Sharpe [Zl] …