in this paper, in order to optimize the portfolio consisting of selected industrial stocks of petroleum products, automobiles and parts, electrical industry and extraction of minerals from tehran stock exchange member, first, time – varying conditional covariance matrix has been estimated based on the following multivariate garch models: diagonal-vech (1,1), ccc (1,1) and diagonal -bekk (1,1). ...

In recent years, the volatility of financial assets has significantly increased. High causes instability in markets and increases portfolio risks. Under these conditions, modeling volatility, determining relationships, spillovers are important for market actors. this study, period January 2, 2010 - April 10, 2020, it was investigated spillover correlation relationship between Borsa Istanbul (BI...

This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand) are included in the analysis. A multivariate gen...

in the science of operation research and decision theory, selection is the most important process. selection is a process that studies multiple qualitative and quantitative criteria, related to the science of management, which are mostly incompatible with each other. the multi criteria selection of a renewable energy portfolio is one of the main issues considered in multi criteria literature. i...

In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the pref...

In the fuzzy set theory, information  measures play a paramount role in several areas such as decision making, pattern recognition etc. In this paper, similarity measure based on cosine function and entropy measures based on logarithmic function for IFSs are proposed. Comparisons of proposed similarity and entropy measures with the existing ones are listed. Numerical results limpidly betoken th...