## Reward-to-risk ratios in Turkish financial markets (Türkiye finans piyasalarında getiri-risk rasyoları)Atılgan, Yiğit and Demirtaş, K. Özgür (2013)
Official URL: http://dx.doi.org/10.3848/iif.2013.323.3550 ## AbstractThis paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher reward-to-risk ratios compared to the sector indices. GDS indices with longer maturities have lower reward-to-risk ratios and this reduction is especially pronounced when the ratios take downside risk into account. The reward-to-risk rankings for the sector indices are similar for each measure and the results are robust to currency conversion.
## Available Versions of this Item- Reward-to-risk ratios in Turkish financial markets. (deposited 16 Oct 2012 14:40)
- Reward-to-risk ratios in Turkish financial markets (Türkiye finans piyasalarında getiri-risk rasyoları). (deposited 17 Jan 2014 15:28)
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- Reward-to-risk ratios in Turkish financial markets (Türkiye finans piyasalarında getiri-risk rasyoları). (deposited 17 Jan 2014 15:28)
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