Диссертация (793627), страница 28
Текст из файла (страница 28)
Stiglitz. Volume II: Information andEconomic Analysis: Applications to Capital, Labor, and Product Markets.Oxford University Press, 2013, 904 p.167149.Sharma Milind. A.I.R.A.P. - Alternative RAPMs for AlternativeInvestments. Journal of Investment Management, 2004, vol. 2, № 4, pp.106-129.150.Sharpe William F. Mutual Fund Performance. Journal of Business,1966, vol. 39, № 1 part 2, pp.119-138.151.Sharpe William F. The Sharpe Ratio. Journal of Portfolio Management,1994, vol. 21, № 1, pp. 49-58.152.Shefrin H., Statman M. Behavioral portfolio theory. Journal ofFinancial and Quantitative Analysis, 2000, vol.
35, №2, pp. 127–151.153.Sheikh A. Barra’s Risk Model, Barra Research Insights, 1996.154.Sortino Frank A. Measuring Risk: Upside-Potential Ratios Vary byInvestment Style. Pensions and Investments, 2000, vol. 28, № 22, pp. 30–35.155.Sortino Frank A. and Price Lee N. Performance Measurement in aDownside Risk Framework.
Journal of Investing, 1994, vol. 3, № 3, pp. 5964.156.Sortino Frank A. and Satchell Stephen E. Managing downside risk infinancial markets, Batterworth-Heinemann Finance, Oxford, 2001157.Sortino Frank A. and van der Meer Robert. Downside Risk. Journal ofPortfolio Management, 1991, vol. 17, № 4, pp. 27-31.
34158.Sortino Frank, van der Meer Robert and Plantinga Auke. The DutchTriangle. Journal of Portfolio Management, 1999, vol. 26, № 5, pp. 50-58.159.Spurgin Richard B. How to Game Your Sharpe Ratio. Journal ofAlternative Investments, 2001, vol. 4, № 3, pp. 38-46.160.Srivvastava Suresh C. and Essayyad Musa. Investigating a NewMethodology for Ranking International Mutual Funds.
Journal ofEconomics and Finance, 1994, vol. 18, № 3, pp. 241-260.161.Statman Meir. How Many Stocks Make a Diversified Portfolio? Journalof Financial and Quantitative Analysis, 1987, vol. 22, № 3, pp. 353-363168162.Statman M., Clark J. End the Charade: replacing the efficient frontierwiththeefficientrange,2013.AvailableatSSRN:http://ssrn.com/abstract=2230548.163.Stevenson Simon. A Performance Evaluation of Portfolio Managers:Tests of Micro and Macro Forecasting. European Journal of Finance, 2004,vol. 10, № 5, pp.
391-411.164.Stutzer Michael. A Portfolio Performance Index. Financial AnalystsJournal, 2000, vol. 56, № 3, pp. 52-61.165.Sweeney R. J. Some New Filter Tests: Methods and Results. Journal ofFinancial and Quantitative Analysis, 1988, vol. 23, №3, pp. 285-300166.Szego Giorgio. Measures of Risk. Journal of Banking and Finance,2002, vol. 26, № 7, pp.
1253-1272.167.Treynor Jack L. How to Rate Management of Invested Funds. HarvardBusiness Review, 1965, vol. 44, № 1, pp. 63-75.168.Treynor Jack L. and Black Fischer. How to Use Security Analysis toImprove Portfolio Selection. Journal of Business, 1973, vol.
46, № 1, pp.61-86.169.Treynor Jack L. and Mazuy Kay K. Can Mutual Funds Outguess theMarket? Harvard Business Review, 1966, vol. 44, № 4, pp. 131-136.170.Vinod H. D. and Morey Matthew R. A Double Sharpe Ratio. Advancesin Investment Analysis and Portfolio Management, 2001, vol. 8, pp. 57-65.171.Viole F., Nawrocki D. The utility of wealth in an upper-and lowerpartialmoment fabric. Journal of Investing, 2011, vol.
20, № 2, pp. 58–85.172.Viole F. Nawrocki D.,. An analysis of heterogeneous utilitybenchmarks in a zero return environment. International Review of FinancialAnalysis, 2013, vol. 28, pp. 190–198.173.Von Neumann J., Morgenstern O. The Theory of Games and EconomicBehavior, 1947.174.Watanabe Yasuaki.
Is Sharpe Ratio Still Effective? Journal ofPerformance Measurement, 2006, vol. 11, № 1, pp. 55-66.169175.Weigel Eric J. The Performance of Tactical Asset Allocation. FinancialAnalysts Journal, 1991, vol. 47, № 5, pp. 63-70.176.Yitzhaki Shlomo. Stochastic Dominance, Mean Variance and Gini'sMean Difference. American Economic Review, 1982, vol. 72, № 1, pp. 178185177.Young Martin R. A Minimax Portfolio Selection Rule with LinearProgramming Solution.
Management Science, 1998, vol. 44, № 5, pp. 673683.178.Young Terry W. Calmar Ratio: A Smoother Tool. Futures (Cedar Falls,Iowa), 1991, vol. 20, №1, p. 40179.Zakamouline Valeri and Koekebakker Steen. Portfolio PerformanceEvaluation with Generalized Sharpe Ratios: Beyond the Mean andVariance. Working paper, submitted to Journal of Banking and Finance,2008.180.Ziemba William T.
The Symmetric Downside-Risk Sharpe Ratio.Journal of Portfolio Management, 2005, vol. 32, № 1, pp. 108-122.181.https://www.cbr.ru/finmarkets/files/development/onrfr_2016-18.pdf –Основные направления развития финансового рынка РоссийскойФедерации на период 2016-2018 годов. Москва, 2016.182.http://www.cbr.ru/analytics/ppc/report_30062016.pdf–Совершенствование системы защиты инвесторов на финансовомрынке посредством введения регулирования категорий инвесторов иопределения их инвестиционного профиля. Доклад Банка России дляобщественных консультаций.
Москва, 2016.183.http://www.cbr.ru/analytics/ppc/pres_30062016.pdf–Совершенствование системы защиты инвесторов на финансовомрынке. Презентация Банка России. Москва, 2016184.http://www.pwc.com/gx/en/advisory-services/FinTech/PwC%20FinTech%20Global%20Report.pdf – Blurred170Lines. How FinTech is shaping financial services.
Global FinTech Report.PwC, 2016.185.https://h2.vc/reports/fintechinnovators/2016/ - FinTech 100. LeadingGlobal Fintech Innovators. H2 Ventures and KPMG, 2016.186.www.moex.com – Официальный сайт Московской биржи187.www.cbr.ru – Официальный сайт Банка России188.www.expert.ru – Журнал «Эксперт»189.www.forbes.ru – Журнал Forbes Россия190.www.nlu.ru–ОфициальныйсайтНациональнойлигиуправляющих191.www.naufor.ru – Официальный сайт Национальной ассоциацииучастников фондового рынка192.us.spindices.com – Standard and Poor’s Rating1711721,211,080,950,8222…21…20…18…17…16…15…14…12…11…методики0,690,560,430,300,1710…91%79%67%55%42%30%применения0,04-0,09-0,22-0,34-2-0,47-1,5-0,60-0,7318%6%-6%-18%-31%-43%-55%-67%-79%Иллюстрация-0,86-0,99-1,12-1,25-1,38-1,51-1,64-1,77-80,00%-70,00%-60,00%-50,00%-40,00%-30,00%-20,00%-10,00%0,00%10,00%20,00%30,00%40,00%50,00%60,00%70,00%80,00%90,00%100,00%110,00%120,00%130,00%140,00%150,00%160,00%170,00%180,00%190,00%200,00%210,00%220,00%-0,5-1,90-2,03Приложениекусочно-линейнойаппроксимации полезности инвестораДоходность фондаРяд значений доходностипреобразуется в ряд значенийполезностиФункция полезности инвестора1,510,150,50-1Моделируется распределение и рассчитываютсяхарактеристики – воспринимаемый потенциал ириск (как условные средние) и ожидаемаяполезность-2,5Полезность портфеля.
![](https://s.studizba.com/z.php?f=/templates/si/i/noavatar.png&w=100&h=100&t=1"){kind=avatar}
