INVESTIGATION ON THE EXPLANATION CAPABILITY OF MODELS (ECONOMETRIST MODELS) AND, NEURAL NETWOR IN DETERMINATION OF VALUE AT RISK IN INVESTORS COMPANIES FOR DETERMINATION OF OPTIMIZED PORTFOLIO IN THE CAPITAL MARKET OF IRAN

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ZOMORODIAN G.R.; ROSTAMI ALI; KARIMI ZAND MEHDI

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:5 | Issue:21 Page(s): 55-74

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Title

INVESTIGATION ON THE EXPLANATION CAPABILITY OF MODELS (ECONOMETRIST MODELS) AND, NEURAL NETWOR IN DETERMINATION OF VALUE AT RISK IN INVESTORS COMPANIES FOR DETERMINATION OF OPTIMIZED PORTFOLIO IN THE CAPITAL MARKET OF IRAN

Author(s)

ZOMORODIAN G.R. | ROSTAMI ALI | KARIMI ZAND MEHDI | Issue Writer Certificate

Keywords

RISKQ2

RETURNQ2

PORTFOLIOQ2

VALUE AT RISKQ2

INVESTMENT COMPANIESQ2

ECONOMETRISTQ2

MODELS RESULTSQ2

NEURAL NETWORKQ2

Abstract

In the complicated world that the RISK is inspirable part of investment and for investing in any place the RISK should be calculated and should transfer it to investors to decide whether to invest or not. For answering to the need of investors for decision making, different models have emerged with regard to the data for estimating the RISK of models.In this research for determining value at RISK, 21 of active INVESTMENT COMPANIES in the capital market of Iran have been selected with regard to ECONOMETRIST and nero. models in order to calculate the explanation capability of models in determining the RISK of 21 investment company in Iran’s capital market and introduce the superior model.

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APA: Copy

ZOMORODIAN, G.R., ROSTAMI, ALI, & KARIMI ZAND, MEHDI. (2015). INVESTIGATION ON THE EXPLANATION CAPABILITY OF MODELS (ECONOMETRIST MODELS) AND, NEURAL NETWOR IN DETERMINATION OF VALUE AT RISK IN INVESTORS COMPANIES FOR DETERMINATION OF OPTIMIZED PORTFOLIO IN THE CAPITAL MARKET OF IRAN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(21), 55-74. SID. https://sid.ir/paper/197681/en

Vancouver: Copy

ZOMORODIAN G.R., ROSTAMI ALI, KARIMI ZAND MEHDI. INVESTIGATION ON THE EXPLANATION CAPABILITY OF MODELS (ECONOMETRIST MODELS) AND, NEURAL NETWOR IN DETERMINATION OF VALUE AT RISK IN INVESTORS COMPANIES FOR DETERMINATION OF OPTIMIZED PORTFOLIO IN THE CAPITAL MARKET OF IRAN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;5(21):55-74. Available from: https://sid.ir/paper/197681/en

IEEE: Copy

G.R. ZOMORODIAN, ALI ROSTAMI, and MEHDI KARIMI ZAND, “INVESTIGATION ON THE EXPLANATION CAPABILITY OF MODELS (ECONOMETRIST MODELS) AND, NEURAL NETWOR IN DETERMINATION OF VALUE AT RISK IN INVESTORS COMPANIES FOR DETERMINATION OF OPTIMIZED PORTFOLIO IN THE CAPITAL MARKET OF IRAN,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 21, pp. 55–74, 2015, [Online]. Available: https://sid.ir/paper/197681/en

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