MEAN-VARIANCE TEST BASED ON THEORETICAL FRAMEWORK OF DOWNSIDE RISK USING VAR

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RAHNAMAY ROODPOSHTI FRAYDOON; HEMMATI ASIABARGI MEHDI; SHABANI BARZEGAR LALEH; KHAKSARIAN FATEMEH

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Paper Information

Journal: INVESTMENT KNOWLEDGE Year:2017 | Volume:6 | Issue:22 Page(s): 29-48

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Title

MEAN-VARIANCE TEST BASED ON THEORETICAL FRAMEWORK OF DOWNSIDE RISK USING VAR

Author(s)

RAHNAMAY ROODPOSHTI FRAYDOON | HEMMATI ASIABARGI MEHDI | SHABANI BARZEGAR LALEH | KHAKSARIAN FATEMEH | Issue Writer Certificate

Keywords

MEAN-VARIANCEQ1

UNDESIRABLE RISKQ1

VECTOR SELF-REGRESSION MODELQ1

TEHRAN STOCK EXCHANGEQ1

Abstract

Variance and downside risk are different variety of risk factors in portfolio management. The purpose of this research is testing MEAN-VARIANCE based on theoretical framework of downside risk using VAR. Period used for this test is from 1384 to 1393 for TEHRAN STOCK EXCHANGE. VAR is the statistical methods used in this study. The results of this study suggest downside risk works better than the framework of mean - variance. In addition, the difference is even more visible when return on assets is more skewed. The study's outcome suggest the downside risk is a better measurement than mean -variance for investment decisions.

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APA: Copy

RAHNAMAY ROODPOSHTI, FRAYDOON, HEMMATI ASIABARGI, MEHDI, SHABANI BARZEGAR, LALEH, & KHAKSARIAN, FATEMEH. (2017). MEAN-VARIANCE TEST BASED ON THEORETICAL FRAMEWORK OF DOWNSIDE RISK USING VAR. INVESTMENT KNOWLEDGE, 6(22 ), 29-48. SID. https://sid.ir/paper/188192/en

Vancouver: Copy

RAHNAMAY ROODPOSHTI FRAYDOON, HEMMATI ASIABARGI MEHDI, SHABANI BARZEGAR LALEH, KHAKSARIAN FATEMEH. MEAN-VARIANCE TEST BASED ON THEORETICAL FRAMEWORK OF DOWNSIDE RISK USING VAR. INVESTMENT KNOWLEDGE[Internet]. 2017;6(22 ):29-48. Available from: https://sid.ir/paper/188192/en

IEEE: Copy

FRAYDOON RAHNAMAY ROODPOSHTI, MEHDI HEMMATI ASIABARGI, LALEH SHABANI BARZEGAR, and FATEMEH KHAKSARIAN, “MEAN-VARIANCE TEST BASED ON THEORETICAL FRAMEWORK OF DOWNSIDE RISK USING VAR,” INVESTMENT KNOWLEDGE, vol. 6, no. 22 , pp. 29–48, 2017, [Online]. Available: https://sid.ir/paper/188192/en

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