International Journal of Business and Social Science

ISSN 2219-1933 (Print), 2219-6021 (Online)

Risk-Adjusted Performance: A two-model Approach Application in Amman Stock Exchange
Hussain Ali Bekhet, Ali Matar

The purpose of the paper is to investigate the risk-adjusted performance of stock portfolios through the application of the Markowitz and single-index models. The monthly closing prices of 115 companies listed in Amman Stock Exchange (ASE) and ASE index over the period (2000-2006) were used. Two elementary developed models will be applied namely; Markowitz and single-index. Furthermore, the paper offers better options for decision making process in choosing optimal portfolios in ASE. Results show that there is no significant difference between the two tested models, and that the numbers of stocks in the portfolios do not affect the result when comparing the two portfolio models.

Full Text: PDF