پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 25 |
| تعداد شماره‌ها | 932 |
| تعداد مقالات | 7,653 |
| تعداد مشاهده مقاله | 12,495,767 |
| تعداد دریافت فایل اصل مقاله | 8,886,797 |
مقاله پژوهشی: انتخاب عملکرد چند دوره ای مبتنی بر الگوی برینستون: مطالعه موردی صندوق های مختلط بورس اوراق بهادار تهران | ||
| راهبرد مدیریت مالی | ||
| مقاله 10، دوره 8، شماره 3 - شماره پیاپی 30، مهر 1399، صفحه 175-200 اصل مقاله (989.2 K) | ||
| نوع مقاله: مقاله پژوهشی | ||
| شناسه دیجیتال (DOI): 10.22051/jfm.2019.24671.1976 | ||
| نویسندگان | ||
| غلامرضا زمردیان1؛ مجید شریعت پناهی2؛ میر فیض فلاح شمس1؛ محمد رضا فقیری* 1 | ||
| 1گروه مدیریت، واحد تهران مرکزی، دانشگاه آزاد اسلامی، تهران، ایران | ||
| 2گروه مدیریت، دانشگاه علامه، تهران، ایران | ||
| چکیده | ||
| یکی از چالش‌های مدیران سرمایه‌گذاری، پاسخ به این پرسش است که ارزش‌افزوده کل هریک از گروه‌های تشکیل‌دهنده دارایی (سپرده، اوراق با درآمد ثابت و سهام) پرتفوی صندوق‌های سرمایه‌گذاری مختلط و سهامی بورسی، ناشی از کدام‌یک از تصمیمات دوگانه انتخاب گروه‌های دارایی و وزن دهی به هریک از این گروه‌ها (تخصیص دارایی) می‌باشد. با توجه به اینکه عموماً بدون در نظر گرفتن تأثیر هریک از تصمیمات انتخاب اوراق بهادار و وزن دهی به آن‌ها، به‌منظور سنجش عملکرد و درنتیجه آن سنجش مهارت مدیران، از ارزش‌افزوده کل استفاده می‌شود و در پاسخ به پرسش فوق و گسترش روش‌های سنتی، در این مقاله با ارائه چارچوبی، ارزش‌افزوده هریک از گروه‌های دارایی پرتفوی صندوق‌های سرمایه‌گذاری فوق، به ارزش‌افزوده ناشی از تخصیص دارایی (وزن دهی) و انتخاب اوراق بهادار تقسیم‌شده و بدین گونه مهارت مدیران هریک از این صندوق‌ها در این دو تصمیم‌گیری، موردسنجش قرارگرفته است. با توجه به تازه‌کار بودن این‌گونه صندوق‌ها در بورس ایران و اطلاعات محدود، نتایج این مقاله نشان می‌دهد که مدیران این صندوق‌ها دارای مهارت پایداری در هیچ‌یک از دو سنجه فوق نمی‌باشند. البته شایان ذکر است که با افزایش زمان فعالیت این صندوق‌ها و همچنین به‌کارگیری مدل‌های پیچیده‌تری که در آن‌ها بازده و ریسک به‌طور هم‌زمان موردبررسی قرار می‌گیرند، می‌توان چارچوب پایداری برای سنجش کامل مهارت مدیران ارائه نمود. | ||
| کلیدواژه‌ها | ||
| الگوی برینستون؛ الگوریتم هموار سازی؛ انتخاب و تخصیص | ||
| عنوان مقاله [English] | ||
| Selection of Briston-Based Multi-Purpose Performance: A Case Study of the Shared Funds of the Tehran Stock Exchange | ||
| نویسندگان [English] | ||
| Gholamreza Zomorodian1؛ Majid Shariat Panahi2؛ Mirfeiz Fallahshams1؛ Mohammadreza Faghiri1 | ||
| 1Department of Management, central Tehran Branch, Islamic Azad University, Tehran, Iran | ||
| 2Department of Management, Allameh University, Tehran, Iran | ||
| چکیده [English] | ||
| One of the most challenging issues for investment managers is to find out whether the total value added of each of the constituent groups of assets (deposits, fixed income securities and equity) portfolios of mixed investment funds and stock exchanges can be highly based on which one of the dual decisions, namely selection of asset groups or weighting to each of these groups (asset allocation). In order to measure managers' performance and consequently managers' skills assessment, total value added is used with no consideration of the effect of each selection decision on securities and their weighting. This paper is to answer the above- mentioned question and extend the existing methods. In so doing, the value added of each portfolios of asset portfolios of the above-mentioned investment funds is divided into value added from the allocation of assets (weighing). Likewise, the selection of securities, and thus the skills of the managers of each of these funds based on these two decisions were measured. Given the novice of such funds in the Iranian stock exchange and limited information, the results of this paper show that managers of these funds have no sustainability skills in either of these two dimensions. It is worth noting, however, that any increase in the operating time of these funds as well as using more sophisticated models in which returns and risks are simultaneously investigated, we can provide a more sustainable framework for full assessment of managers' skills. | ||
| کلیدواژه‌ها [English] | ||
| Brinnston Model, Smoothing Algorithm, Selection and Allocation | ||
| مراجع | ||
|
- A.Marhfor. (2016). Portfolio Performance Measurement Review of Literature and Avenues of Future Research, 20,April 2016,American Journal of Industrial and Business Management,6,432-438 - Acerbi. (2002). Spectral measures of risk: a coherent representation of subjective risk aversion.Journal of Banking and Finance, 26(7):1505–1518. - Agarwal, W. Fung, Y. C. Loon, and N.Y. Naik.(2005). Risks in hedge fund strategies: The case ofconvertible arbitrage. Working Paper, Georgia State University and London Business School. - Alexander, T.F. Coleman, and Y. Li.(2006). Minimizing cvar and var for a portfolio of derivatives.Journal of Banking and Finance, 30(2):583–605. - Arnott, J. Jsu, and P. Moore.(2005). Fundamental indexation. Finanical Analysts Journal, 61:83–99. - Artzner, F. Delbean, J.M. Eber, and D. Heath.(1999). Coherent measure of risks. MathematicalFinance, 9(3):203–228. - B.Leerink and G.V.Breukelen.(2015). Multi-Performance Attribution,Ortec-Finance. - Bacon.(2004). Practical portfolio performance measurement and attribution. Wiley Finance. - Ben-Tal and A.S. Nemirovski.(1998). Robust convex optimization. Mathematics of OperationsResearch, 23(4):769–805. - Bertsimas, D.B. Brown, and C. Caramanis.(2011) Theory and applications of robust optimization.SIAM Review, 53:464–501. - Black and R. Litterman.(1990). Asset allocation: Combining investor views with market equilibrim.Fixed Income Resarch, Gold man Sachs, September. - Brinson and N. Fachler.(1985). Measuring non-us equity portfolio performance. Journal of PortfolioManagement, pages 73–76. - Carhart.(1997). On persistence in mutual fund performance. Journal of Finance, 52:57–82. - Carino.(1999). Arithmetic and geometric attribution. Journal of Performance Mea- surement, Fall:59–68. - Cetinkaya and A. Thiele.(2012). Data-driven portfolio management with quantile constriants.Working Paper, Lehigh University. - Chen and S. Burer.(2012). Globally solving nonconvex quadratic programming problems via completely positive programming. Manthmatical Programming Computations, 4:33–52. - D. Gallagher, G. Harman, C. Schmidt, G. Warren.(2017). Global Equity Fund Performance: An Attribution Approach, Financial Analysts Journal/Publication of CFA Institute: First Quarter. - Davies and D Laker.(2001). Multiple-period performance attribution using the brin- son model. Journal of Performance Measurement, Fall:12–22. - Dong and A.C. Thiele.(2014). Robust portfolio management with uncertainty in asset allocation. Working paper. - E. F. Fama and K. R. French.(2000). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 1:3–56. - E.Girard, A.Pondillo and R.Prodor.(2005). Conducting Performance a Hribution Analysis in Classroom Using Meal Market Data, Journal of Financial Education, Vol.31, P.P 57-76 - ElGhaoui, M. Oks, and F Oustry.(2003).Worst-case value-at-risk and robust portfolio optimization: a conic programming approach. Operations Research, 51(4):543–556. - F. Black, and R. Litterman.(1992). "Global portfolio optimization". Financial Analysts Journal, 48 (5), p. 16. - F.Petronio, T.Lando, A.Biglova, S.Ortobelli.(2014). Optimal Portfolio Performance in Exchange-Traded Funds, Economickarevue-Central European Review of Economic Issues, 17. - Fung and D. A. Hsieh.(2002). Asset-based style factors for hedge funds. Financial AnalystsJournal, 58(5):16–27. - G. Brinson, R. Hood, and G. Beebower.(1986). Determinants of portfolio performance. FinancialAnalyst Journal, pages 39–44. - G.B.Brinson, B.D.Singer and G.L.Beebower.(May-Jun 1991). Determinants of Portfolio Performance II: An Update, Financial Analysis Journal, Vol.47, No.3 .P.P 40-48. - G.P.Brinson, L.R.Hood.( ,July-August,1986). G.L.Beebower, Determinats of Portfolio Oerformance, Financial Analysts Journal,PP.39-44 - Gaivoronski and G. C. Pflug.(2005). Value-at-risk in portfolio optimization: properties and computational approach. Journal of Risk, 7(2):1–31. - Glasserman and X. Xu.(2012). Robust portfolio control with stochastic factor dynamics. Revised and resubmitted to Operations Research. - H. Waelbroeck, C. Gomes.(2018). The Role of Trading in Portfolio Performance Attribution, Journal of Performance Measurement, zz, no 1: 52-76. - J. Treynor.(1965). How to rate management of investment funds. Harvard Business Review, 43:63–75. - J. Treynor.(2005). Why market-valuation-indifferent indexing works. Finanical Analysts Journal, 61:65–69. - J.C.HSU.V.Kalesink and B.W.Myers.(2010). Performance a Hribution: Measuring Dynamic Allocation Skill, Financial Analysts Journal, Volume 66, No 6 © CFA Institue - L.R.Hood, Determinants of Portfolio Performance-20 years Later, Financial Analysts Journal - M. Jensen.(1968). The performance of mutual funds in the period 1945-1964. Journal of Finance,23:389–416. - M. Lestel.(2019). Performance Attribution from Bacon. - M.Hassinc, T.Roncalli.(2013). Measuring Performance Of Exchange Traded Funds. - P.Cogneay, G.Hubner.(2009). The 101 Ways to Measure Portfolio Performance, SSRN Electronic Journal, Dol:10.2139/ssrn,1326076. - Pang and S. Leyffer.(2014). On the global minimization of the value-at-risk. Optimization Methodsand Software, 19(5):611–631. - R. Campbell, R. Huisman, and K. Koedijk.(2001). Optimal portfolio selection in a value-at-riskframework. Journal of Banking and Finance, 25(9):1789–1804. - S. Basak and A. Shapiro.(2001). Value-at-risk managemant: Optimal policies and asset prices. Valueat-risk managemant: Optimal policies and asset prices, 14(2):371–405. - S. Benati and R. Rizzi.(2007). A mixed integer linear programming formulation of the optimalmean/value-at-risk portfolio problem. European Journal of Operational Research, 176(1):423–434. - S. Ceria, F. Margot, A. Renshaw, and A. Saxena.(2009). Novel approaches to portfolio construction:multiple risk models and multisolution generation. Optimizing Optimization: The NextGeneration of Optimization Applications and Theory, Elsevier Science:23–45. - Treynor and K.(1966). Mazuy. Can mutual funds outguess the market? Harvard Business Review,44:131–163. - V. Gabrel, C. Murat, and A. Thiele.(2012). Recent advances in robust optimization an robustness. Technical report, Universite Paris-Dauphine. | ||
|
آمار تعداد مشاهده مقاله: 533 تعداد دریافت فایل اصل مقاله: 522 |
||