نتایج جستجو برای: optimal portfolio
تعداد نتایج: 383159 فیلتر نتایج به سال:
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...
investors use different approaches to select optimal portfolio. so, optimal investment choices according to return can be interpreted in different models. the traditional approach to allocate portfolio selection called a mean - variance explains. another approach is markov chain. markov chain is a random process without memory. this means that the conditional probability distribution of the nex...
In this study, by applyig a combination of Autoregressive Conditional Heteroskedasticity and stochastic differential equations Models with Markowitz model we estimate the optimal portfolio investment in the housing market are discussed. For this purpose, use of assets, stock prices, housing prices, the price of coins and bonds during the period 1999-2013 with the monthly data. Autoregre...
this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...
The main goal of this research is to calculate VaR index with parametric Markov-Switching GARCH approach for accepted companies in Tehran Stock Exchange and also selecting the optimal portfolio of their stocks. To calculate the index, data and information of weekly stock price of 10 representative firms during the period 2008-2014 has been used which account for 332 working weeks.The results fr...
the current study addresses an estimation of investor's optimal portfolio under conditions of uncertainty by using a combination of artificial neural network and markowitz models. for this purpose, such assets as stock prices, house prices, coin and bonds price are used with monthly data over the period 1378-1392. three variables including inflation uncertainty, oil uncertainty and free ma...
portfolio theory assumes that investors accept risk. this means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return o...
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). ...
Investors use different approaches to select optimal portfolio. so, Optimal investment choices according to return can be interpreted in different models. The traditional approach to allocate portfolio selection called a mean - variance explains. Another approach is Markov chain. Markov chain is a random process without memory. This means that the conditional probability distribution of the nex...
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