Investigating the volatility, upside risk, downside risk and Capital Asset Pricing Model: Evidences from Tehran Stock Exchange
Modern Portfolio Theories are based on Markowitz’s portfolio optimization model that involves the assumption of Mean Variance Behavior and therefore require the asymmetry and normality of returns. This issue also affects the Capital Asset Pricing Model that estimates systematic risk and uses it in p...
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| Автори: | , , |
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| Формат: | Artigo |
| Мова: | Persa |
| Опубліковано: |
University of Tehran
2010-07-01
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| Серія: | تحقیقات مالی |
| Предмети: | |
| Онлайн доступ: | https://jfr.ut.ac.ir/article_21737_b6e6e3816aa3185595560af7e16e8020.pdf |
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