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Towards the Estimation of an Efficient Benchmark Portfolio: The Case of Croatian Emerging Market

References Amenc, N., Goltz, F. & Martellini, L. (2013). Smart Beta 2.0. Nice, France: EDHEC-Risk Institute. Amenc, N., Goltz, F., Martellini, L. & Retkowsky, P. (2011). Effi cient Indexation: An Alternative to Cap-Weighted Indices. The Journal of Investment Management. 9(4), 1-23. Fama, E. F. & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance. 47(2), 427-465. DOI: 10.1111/j.1540-6261.1992.tb04398.x. Grinold, R. C. (1992). Are Benchmark Portfolios Effi

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Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market

Performance Analysis . Nice, France: EDHEC Risk and Asset Management Research Centre. Amenc, N., Goltz, F., Martellini, L. & Retkowsky, P. (2011). Efficient Indexation: An Alternative to Cap-Weighted Indices. The Journal of Investment Management. 9 (4), 1-23. Arnott, R., Hsu, J. & Moore, P. (2005). Fundamental Indexation. Financial Analysts Journal. 61 (2), 83-99. Dolinar, D. (2015). Identifikacija faktora sistematskoga rizika i mogućnost primjene faktorskih modela na hrvatskom dioničkom tržištu . Doctoral Thesis, Faculty of Economics and Business

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Performance Gauging of Portfolio: Luenberger Distance Function Approach on Sarajevo Stock Exchange

REFERENCES: Agarwal, V. and Naik, N. Y. 2004. Risk and portfolio decisions involving hedge funds, Review of Financial Studies 17(1): 63-98. Amenc, N., Goltz, F., Martellini, L. and Retkowsky, P. 2010. Efficient Indexation: An Alternative to Cap-Weighted Indices, Nice: An EDHEC-Risk Institute Publication. Andiramasy, L. R., Briec, W. and Rakotondramaro, H. H. 2017. A Luenberger Hicks-Moorsteen Portfolio Productivity Indicator, Working paper. Bacon, C. R. 2012. Practical Risk-Adjusted Performance Measurement, New York: John Wiley & Sons

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Application of semi-deviation as a proxy for the expected return estimation in the Croatian equity market

References 1. Ang, A., Chen, J., Xing, Y. (2006a). Downside risk. The Review of Financial Studies , Vol. 19, No. 4, pp. 1191-1239. 2. Ang, A., Hodrick, R., Xing, Y., Zhang, X. (2006b). The Cross Section of Volatility and Expected Returns. Journal of Finance , Vol. 51, No. 1, pp. 259-299. 3. Amenc, N., Goltz, F., Martellini, L., Retkowsky, P. (2011). Efficient Indexation: An Alternative to Cap-Weighted Indices. The Journal of Investment Management, Vol. 9, No. 4, pp. 1-23. 4. Amenc, N., Goltz, F., Martellini, L. (2013). Smart Beta 2

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