USING THE SORTINO COEFFICIENT IN THE ASSESSMENT OF FINANCIAL RISKS OF AN INVESTMENT PORTFOLIO
Abstract
In this article, 5 real sector enterprises operating in Uzbekistan were taken as the object of research, i.e. “Kvarts” JSC (KVTS), “Kizilqumsement” JSC (QZSM), “Kokon Mechanical Plant”JSC (KUMZ), “Uzbekistan Metallurgical Combine” JSC (UZMK), “Almalik Mine-Metallurgical Combine” JSC (AGMK) were obtained. During the analysis, the activity of joint stock companies in the stock market and stock index data from 2017 to 2024 were taken. In order to avoid reducing the level of accuracy of the research due to sudden changes during the pandemic, the research period was divided into pre-pandemic, pandemic, and post-pandemic periods. The Sortino coefficient was used to assess the financial risks of the investment portfolio, and the advantages and disadvantages of using this coefficient were analyzed.
Keywords:
stock return financial risk investment portfolio Sortino coefficientReferences
Chaudhry A., Johnson H.L. (2008). The efficacy of the Sortino ratio and other benchmarked performance measures under skewed return distributions. Aust. J. Manag. 32, Special Issue.
Corbet S, Larkin C, Lucey B (2020) The contagion effects of the COVID-19 pandemic: evidence from gold and cryptocurrencies. Finance Res Lett 35:1–7. https://doi.org/10.1016/j.frl.2020.101554
Dhingra, V., Sharma, A. & Gupta, S.K. (2023) Sectoral portfolio optimization by judicious selection of financial ratios via PCA. Optim Eng . https://doi.org/10.1007/s11081-023-09849-1
Elbasha, E.H. (2022) Cost-Effectiveness Risk-Aversion Curves: Comparison of Risk-Adjusted
Performance Measures and Expected-Utility Approaches. PharmacoEconomics 40, 497–507.
https://doi.org/10.1007/s40273-021-01123-5
Hasnaoui JA, Rizvi SKA, Reddy K et al (2021) Human capital effciency, performance, market, and volatility timing of Asian equity funds during COVID-19 outbreak. J Asset Manage 22:360–375. https:// doi.org/10.1057/s41260-021-00228-y
Hodoshima J. (2021) Evaluation of performance of stock and real estate investment trust markets in Japan. Empirical Economics 61:101–120 https://doi.org/10.1007/s00181-020-01869-5
Sharif A, Aloui C, Yarovaya L (2020) COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet based approach. Int Rev Financial Anal 70:1–10. https://doi.org/10.1016/j.irfa.2020.101496
Shehzad K, Xiaoxing L, Kazouz H (2020) COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact? Finance Res Lett 36:1–8. https://doi.org/10.1016/j.frl.2020.101669
Sortino F.A. Price, L.N. (1994): Performance measurement in a downside risk framework. J. Invest. 3(3), 59–64
Downloads
Published
How to Cite
Issue
Section
License
This work is licensed under a Creative Commons Attribution 4.0 International License.
