Optimal Portfolio Selection in the Stock Exchange: An Application of Value at Risk (VaR) Index
The main objective of this paper is to determine the optimum portfolio of the Tehran Stock Exchange with respect to the Value at Risk (VaR) index. Daily data are on the shares of 30 active companies traded in the Tehran Stock Exchange with daily expected return above 0.4 percent in 2004. Optimum por...
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| Autores principales: | , |
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| Formato: | Artigo |
| Lenguaje: | Persa |
| Publicado: |
Allameh Tabataba'i University Press
2007-01-01
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| Colección: | فصلنامه پژوهشهای اقتصادی ایران |
| Materias: | |
| Acceso en línea: | https://ijer.atu.ac.ir/article_3674_4eb8b370b550d8a61e41bd469cd91178.pdf |
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