How to cite this paper
Fard, H., Ansar, M & Yekezare, A. (2014). A risk-return based model to measure the performance of portfolio management.Management Science Letters , 4(10), 2183-2190.
Refrences
Block, S. B., & French, D. W. (2002). The effect of portfolio weighting on investment performance evaluation: the case of actively managed mutual funds. Journal of Economics and Finance, 26(1), 16-30.
Briec, W., Kerstens, K., & Lesourd, J. B. (2004). Single-period Markowitz portfolio selection, performance gauging, and duality: A variation on the Luenberger shortage function. Journal of Optimization Theory and Applications,120(1), 1-27.
Hsieh, H., & Hodnett, K. (2013). A review of performance evaluation measures for actively-managed portfolios. Journal of Economics and Behavioral Studies, 5(12), 815-824.
Hamidani, F. (2004). Mutual Fund Performance in Bull and Bear Markets: An Empirical Examination (Doctoral dissertation, Faculty of Business Administration-Simon Fraser University).
Jagric, T., Podobnik, B., Strasek, S., & Jagric, V. (2007). Risk-adjusted performance of mutual funds: some tests. South-Eastern Europe Journal of Economics, 2, 233-44.
Khodaei Valahzaghard, M., & Ansar, M. (2013). How banking sanctions influence on performance of foreign currency portfolio management. Management Science Letters, 3(2), 527-532.
Lamm Jr, R. M. (2003). Asymmetric returns and optimal hedge fund portfolios. The Journal of Alternative Investments, 6(2), 9-21.
Mann, H. B., & Whitney, D. R. (1947). On a test of whether one of two random variables is stochastically larger than the other. The Annals of Mathematical Statistics, 18(1), 50-60.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
Markowitz, H. M. (1968). Portfolio selection: efficient diversification of investments (Vol. 16). Yale university press.
Petronio, F., Lando, T., Biglova, A., & Ortobelli, S. (2014). Optimal portfolio performance with exchange-traded funds, 17, 6-12.
Qamruzzaman, M. (2014). Comparative study on performance evaluation of mutual fund schemes in Bangladesh: An analysis of monthly returns. Journal of Business Studies Quarterly, 5(4), 190-209.
Sadjadi, S. J., Seyedhosseini, S. M., & Hassanlou, K. (2011). Fuzzy multi period portfolio selection with different rates for borrowing and lending. Applied Soft Computing, 11(4), 3821-3826.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
Sharpe, W. F. (1998). The sharpe ratio. Streetwise–the Best of the Journal of Portfolio Management, 169-185.
Singer, B. (1996). Evaluation of portfolio performance: Aggregate return and risk Analysis. The Journal of Performance Measurement, 6-16.
Stoyanov, S. V., Rachev, S. T., & Fabozzi, F. J. (2007). Optimal financial portfolios. Applied Mathematical Finance, 14(5), 401-436.
Türegün, N., & Kaya, C. (2014). Performance evaluation of Turkish pension mutual funds. International Journal of Economics, Finance and Management, 3(1).
Wilcoxon, F. (1945). Individual comparisons by ranking methods. Biometrics bulletin, 1(6), 80-83.
Wu, S.S. (2014). Interaction between mutual fund performance and portfolio turnover. Journal of Emerging Issues in Economics, Finance and Banking, 3(4).
Zhou, X. Y., & Yin, G. (2003). Markowitz & apos; s mean-variance portfolio selection with regime switching: A continuous-time model. SIAM Journal on Control and Optimization, 42(4), 1466-1482.
Briec, W., Kerstens, K., & Lesourd, J. B. (2004). Single-period Markowitz portfolio selection, performance gauging, and duality: A variation on the Luenberger shortage function. Journal of Optimization Theory and Applications,120(1), 1-27.
Hsieh, H., & Hodnett, K. (2013). A review of performance evaluation measures for actively-managed portfolios. Journal of Economics and Behavioral Studies, 5(12), 815-824.
Hamidani, F. (2004). Mutual Fund Performance in Bull and Bear Markets: An Empirical Examination (Doctoral dissertation, Faculty of Business Administration-Simon Fraser University).
Jagric, T., Podobnik, B., Strasek, S., & Jagric, V. (2007). Risk-adjusted performance of mutual funds: some tests. South-Eastern Europe Journal of Economics, 2, 233-44.
Khodaei Valahzaghard, M., & Ansar, M. (2013). How banking sanctions influence on performance of foreign currency portfolio management. Management Science Letters, 3(2), 527-532.
Lamm Jr, R. M. (2003). Asymmetric returns and optimal hedge fund portfolios. The Journal of Alternative Investments, 6(2), 9-21.
Mann, H. B., & Whitney, D. R. (1947). On a test of whether one of two random variables is stochastically larger than the other. The Annals of Mathematical Statistics, 18(1), 50-60.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
Markowitz, H. M. (1968). Portfolio selection: efficient diversification of investments (Vol. 16). Yale university press.
Petronio, F., Lando, T., Biglova, A., & Ortobelli, S. (2014). Optimal portfolio performance with exchange-traded funds, 17, 6-12.
Qamruzzaman, M. (2014). Comparative study on performance evaluation of mutual fund schemes in Bangladesh: An analysis of monthly returns. Journal of Business Studies Quarterly, 5(4), 190-209.
Sadjadi, S. J., Seyedhosseini, S. M., & Hassanlou, K. (2011). Fuzzy multi period portfolio selection with different rates for borrowing and lending. Applied Soft Computing, 11(4), 3821-3826.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.
Sharpe, W. F. (1998). The sharpe ratio. Streetwise–the Best of the Journal of Portfolio Management, 169-185.
Singer, B. (1996). Evaluation of portfolio performance: Aggregate return and risk Analysis. The Journal of Performance Measurement, 6-16.
Stoyanov, S. V., Rachev, S. T., & Fabozzi, F. J. (2007). Optimal financial portfolios. Applied Mathematical Finance, 14(5), 401-436.
Türegün, N., & Kaya, C. (2014). Performance evaluation of Turkish pension mutual funds. International Journal of Economics, Finance and Management, 3(1).
Wilcoxon, F. (1945). Individual comparisons by ranking methods. Biometrics bulletin, 1(6), 80-83.
Wu, S.S. (2014). Interaction between mutual fund performance and portfolio turnover. Journal of Emerging Issues in Economics, Finance and Banking, 3(4).
Zhou, X. Y., & Yin, G. (2003). Markowitz & apos; s mean-variance portfolio selection with regime switching: A continuous-time model. SIAM Journal on Control and Optimization, 42(4), 1466-1482.