Vahid Rezaie

[ 1 ] - Comparison of Performance of Traditional Value at Risk Models with Switching Model in Tehran Stock Exchange

The problem of portfolio optimization has made many advances since Markowitz proposed an average-variance-based optimization. It can be said that the most important achievement of the Markowitz model was the introduction of variance as a risk indicator and indeed, the introduction of a quantitative benchmark into it. This research is a model for predicting value at risk. This model extends the ...