نتایج جستجو برای: garch method measures portfolio risk more accurately in comparison with traditional methods
تعداد نتایج: 19044979 فیلتر نتایج به سال:
tourism , today as one of the ways to make money, create jobs , and social and political interactions is considered. this paper aims to examine the strengths and weaknesses of tourism development in mahmoud abad ( mazandaran ). the research method in this study is " descriptive - analytical " and to collection of data used field methods such as questionnaires and documentation - library. the sa...
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework (APF), we propose a novel mean-VaR op...
the purpose of this study was to investigate how english language teachers in mashhad who teach students in the pre-university cycle perceived the impact of the efltee on their teaching. the target population was nearly all pre-university english language teachers in seven districts of mashhad in the scholastic year 2008/2009. a survey questionnaire which consisted of (36) likert type items, wa...
The main objective of this research is to optimize the stock portfolio of investment companies operating in the field of petrochemical and refining industries through minimizing risk with respect to the expected return. In this regard, first of all, the compositions of sample firm's portfolios were investigated during 2013 to 2016 and high-weight industries were selected. Then, the risk of retu...
With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...
آموزش واژه با بهره گیری از یادگیری تلفیقی و نرم افزارهای چند رسانه ای در کلاس های آموزش زبان انگلیسی
the purpose of this study was to investigate the impact of blended learning and multimedia softwares on iranian efl students vocabulary learning. in addition, the present study tried to examine the extent to which multimedia softwares can be applied into efl classes in iran. it also attempted to find out students attitudes toward using these softwares. to this end, 87 iranian efl learners at el...
nanotechnology is a general term which is related with field of all advanced science term that generally predicates with all modern technologies which consider nanoscales. improvement in the quality of products by adding some nanoparticles and study of their behavior in the presence of these nanoparticles have been obtained in many researches. on the other hand numerous demands for sowing ...
modeling dependence structure in financial economics is of paramount importance when estimating portfolio’s value at risk, since risk of an asset in addition to its own behavior is also dependent on the behavior of other assets in the portfolio. application of joint distribution copula is one of the methods for incorporation dependence at lower and upper tail of returns’ distribution in financi...
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
هدف مقاله حاضر ؛ اندازه گیری و مقایسه ارزش آتی نگهداری پرتفوی در بازه های زمانی کوتاه مدت با توجه به حداکثری بازده و حداقلی ریسک آن سبد می باشد تا سرمایه گذاران و سبد گردان ها با توجه به ارزش پیش بینی شده در اخذ تصمیمات خود مورد ارزیابی قرار دهند. بنابراین جهت محاسبه و ارزیابی میزان نکول پرتفوی صندوق های سرمایه گذاری؛ به کمک تحلیل ارزش در معرض ریسک از مدل های GARCH و ARCH و تکنیک شبیه سازی مونت...
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