شاخص شارپ

Given the large number of investment funds, their different performance in the past and their different characteristics, choosing the appropriate investment fund is important for investors. In addition to past performance including risk and return, there are several structural and behavioral factors that can affect the return on investment fund. These factors can include size, fund costs, management fees, portfolio turnover ratios, cash flow, fund life, focus, location, experience and management skills, gender management, volume of transactions, governance structure of equity funds, etc. On the other hand, if the factors affecting decision making are known, the process of analyzing, interpreting and selecting the fund is also unknown.

Financial markets, especially capital markets, are considered the main tools for equipping and allocating financial resources. With regard to the strategic, financial and economic importance of such markets, whenever a widespread disruption or deviation occurs, it becomes extremely difficult to equip and allocate a country’s financial resources. One of the contributing factors is price bubble. In fact, the essence of price bubbles lies in the reactions to price hikes. Thus, the increase in prices leads to greater investor appetite, higher demand and ultimately another price hike.
In such occasions, the investment managers plan to optimize their stock portfolios. In other words, they intend to bring about maximum return for customers and shareholders in exchange for a certain level of risk. This study attempted to examine several variables such as stock price, stock monthly return, overall market return, variance, standard deviation, var and Downside Risk to a new model within the bubble space at Tehran Stock Exchange (TSE) for period (2000-2015). At first, the effects of bubble were proven and the junctures were identified for 7 periods. Then, the variables were analyzed to achieve an optimization model, adopting an approach similar to Sharpe’s, where the extracted optimum portfolio brought about a far more desirable position for the investors than other portfolios under non-bubble conditions involving return, Sharpe, Treynor and Jensen. The main hypothesis was proven and a new model was proposed to achieve the ideal results through analyzing the model within an ascending bubble space as well as a descending bubble space, which were then compared against a non-bubble space.

Portfolio selection process is one of the issues that have been of interest to many researchers. Various criteria involved in this process changed over time, and it is necessary to use optimal tools for making better decision. The purpose of this study is the optimal stock portfolio selection using algorithm bacteria. For this reason monthly risk and return of 102 listed copmaies on the Thehran Stock Exchange from 2009-2013 has been studied. The results show that bacteria algorithm is able to select stock portfolio with using portfolio equation with L limitation. And also be stated that the optimal portfolio selection algorithm bacteria equation based on portfolio equation, mean-Variance model with Cardinal limits is better than on portfolio equation with with L limitation. L restrictions mean that there is no limit to the mentioned companies.

In this Research New & Past Gird Models for portfolio select based on triener & sharp index do comparative.
The research finding show that, sharp index better than triener index for growth portfolio.

Initially in this research we introduce a new method for evaluating the performance of company in Tehran Stock Exchange that called Revised-Sharp ratio and then examine this index was compared with sharp ratio. In Revised- Sharp ration we used of Value at Risk (Var) concept. Due to the unique properties and its application in the international financial institutions, VaR was applied as a financial innovation in Revised Sharp index.
In this study, evaluating the performance by Revised-Sharp and Sharp was done in Investment and Metal Producer Company for period of study (2007-2011). The results show that there is no difference between ranking of Revised-Sharp and Sharp index in Investment companies (Portfolio). Although in Metal companies there were some differences between ranking of Revised Sharp and Sharp apparently, but also this hypothesis was not approved by nonparametric statistical examination.

In this study, we consider the relationship between insurance companie's return and risk, risk-aversion or risk-taking of portfolio managers investing for insurance companies. It was examined by means of P/E measure. The performance of insurance companies has been studied by applying combined portfolio performance measures. First, The measure of Sharp, Treynor, Jensen and P/E measure of Iranian insurance companies and central insurance were appraised in comparison with Ghadir (irsnian Investment co. To test the hypotheses, we used the SPSS 15 software. The results show: Portfolio managers investing for insurance companies are not risktaking. Insurance companies are risk-taking in comparison with Ghadir investment company and are neutral when compared with national investing companies. According to Sharp measure, portfolio managers investing for insurance companies use the passive strategy in comparison with Market. According to Treynor measure, portfolio managers investing for Iran insurance company are neutral, whereas portfolio managers investing central insurance company apply the active strategy meaningfully. According to Jensen measure, portfolio managers investing for insurance companies are neutral in comparison with Market. On the basis of each studied measures, portfolio managers investing for insurance companies are neutral when compared with portfolio managers investing for investment companies. Hence, the hypothesis was rejected. There is no meaningful relationship between investing portfolio return and risk of Iran insurance companies. There is a meaningful relationship between investing portfolio return and risk of central insurance companies.