文章基本信息

标题：A risk-return based model to measure the performance of portfolio management
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作者：Hamid Reza Vakili Fard Mahmood Ansar ; Amir Yekezare
期刊名称：Management Science Letters
印刷版ISSN：1923-9335
电子版ISSN：1923-9343
出版年度：2014
卷号：4
期号：10
页码：2183-2190
DOI：10.5267/j.msl.2014.9.019
出版社：Growing Science
摘要：The primary concern in all portfolio management systems is to find a good tradeoff between risk and expected return and a good balance between accepted risk and actual return indicates the performance of a particular portfolio. This paper develops “A-Y Model” to measure the performance of a portfolio and analyze it during the bull and the bear market. This paper considers the daily information of one year before and one year after Iran's 2013 precedential election. The proposed model of this paper provides lost profit and unrealized loss to measure the portfolio performance. The proposed study first ranks the resulted data and then uses some non-parametric methods to see whether there is any change because of the changes in markets on the performance of the portfolio. The results indicate that despite increasing profitable opportunities in bull market, the performance of the portfolio did not match the target risk. As a result, using A-Y Model as a risk and return base model to measure portfolio management's performance appears to reduce risks and increases return of portfolio.
关键词：Portfolio optimization; Portfolio management performance; K-A Model