Moien Nikusokhan

Department of Financial Management, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran

[ 1 ] - GJR-Copula-CVaR Model for Portfolio Optimization: Evidence for Emerging Stock Markets

Abstract T his paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to determine the structure of dependence. Finally, the impact of the dep...

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