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An extensile method on the arbitrage pricing theory based on downside risk (D-APT)
Reza Tavakoli Baghdadabad, Mohammad; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 10 (2014) 1, pp. 54-72
Purpose – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study includes 163 stocks traded on the Malaysian...
Persistent link: https://www.econbiz.de/10014785727
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Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework
Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) June, pp. 247-270
Purpose – This paper aims to evaluate the risk-adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M-DRM) based on the modern portfolio theory. The purpose is to report the...
Persistent link: https://www.econbiz.de/10010814595
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An extensile method on the arbitrage pricing theory based on downside risk (D-APT)
Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 10 (2014) January, pp. 54-72
Purpose – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study includes 163 stocks traded on the Malaysian...
Persistent link: https://www.econbiz.de/10010732410