Browsing by Subject "Variance"

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    Application of Markowitz Portfolio Selection Model to Istanbul Stock Exchange, 1990-1992
    (1995) Alkazan, Hande
    In this study, Markowitz Efficient Frontier is constructed by using stock prices in Istanbul stock exchange for the period of 1990-92. This set of efficient portfolios is compared with mutual funds which are randomly chosen for the same period. Comparison is done on the basis of mean-variance criteria. According to the empirical results, chosen mutual funds for the period of 1990-92 are found to be inefficient.
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    ItemOpen Access
    Computing moments of first passage times to a subset of states in Markov chains
    (SIAM, 2005) Dayar T.; Akar, N.
    This paper presents a relatively efficient and accurate method to compute the moments of first passage times to a subset of states in finite ergodic Markov chains. With the proposed method, the moment computation problem is reduced to the solution of a linear system of equations with the right-hand side governed by a novel recurrence for computing the higher-order moments. We propose using a form of the Grassmann-Taksar-Heyman (GTH) algorithm to solve these linear equations. Due to the form of the linear systems involved, the proposed method does not suffer from the drawbacks associated with GTH in a row-wise sparse implementation. © 2005 Society for Industrial and Applied Mathematics.
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    ItemOpen Access
    Effects of soccer on stock markets: the return-volatility relationship
    (Pergamon Press, 2012) Berument, Hakan; Ceylan, N. B.
    This paper assesses the effects of domestic soccer teams' performances against foreign rivals on stock market returns as well as on the return-volatility relationship. Data from Chile, Spain, Turkey and the United Kingdom support propositions that soccer teams results in international cups affect stock market returns and the return-volatility relationship. Evidence from Spain and the UK, soccer powerhouses, suggests that losses are associated with lower returns and higher risk aversion but evidence from Chile and Turkey, where soccer is the most important sport but teams are not as successful, reveals that wins are associated with higher returns and lower risk aversion. Crown Copyright (C) 2012 Published by Elsevier Inc. on behalf of Western Social Science Association. All rights reserved.