Beyond Portfolio Theory, Evidence from Tehran Stock Exchange
Islamic Azad University - Tehran Central Branch - Management Faculty
IAU - Management and Accounting Faculty - Shahre E. Ray Branch
Islamic Azad University, Tehran Central Branch - Management Faculty
January 1, 2012
Business Intelligence Journal, Vol. 5, No. 1, pp. 71-84
Many theories of portfolio management have been yet presented. In this research, we survey the efficiency and effectiveness of two well-known theories, the modern theory of portfolio and the postmodern theory of portfolio, by making use of popular ratios of Sharpe and Sterling. We evaluate the performance of investment companies, with active portfolio management, accepted in Tehran stock Exchange during 2006 to 2010. Sharpe and Sterling ratios are employed as the means of evaluation to evaluate the performance of investment companies in comparison to each other and to the market. To do research, we have used Kruskal Wallis tests, regression analysis and LSD post-test. The previous researches and evidence emerge other factors, affecting on the performance of corporations but not evaluate by these two criteria. In another word, maybe it is time to revise modern and postmodern theories of portfolios.
Number of Pages in PDF File: 14
Keywords: modern portfolio theory, post modern portfolio theory, Sharpe ratio, Sterling ratio
JEL Classification: G11, G12Accepted Paper Series
Date posted: December 12, 2011 ; Last revised: March 4, 2012
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo2 in 0.313 seconds