INVESTIGATING EXPLANATION CAPABILITY OF NONPARAMETRIC MODELS(MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISK IN PORTFOLIO OF INVESTMENT COMPANIES FOR INDICATING OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN

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ZOMORRODIAN GH.; FALLAH SHAMS M.F.; PANAHI YAGHOUB; SAFARI KAHREH ZAHRA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:5 | Issue:20 Page(s): 27-40

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Title

INVESTIGATING EXPLANATION CAPABILITY OF NONPARAMETRIC MODELS(MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISK IN PORTFOLIO OF INVESTMENT COMPANIES FOR INDICATING OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN

Author(s)

ZOMORRODIAN GH. | FALLAH SHAMS M.F. | PANAHI YAGHOUB | SAFARI KAHREH ZAHRA | Issue Writer Certificate

Keywords

RISKQ2

RETURNQ2

PORTFOLIOQ2

VALUE AT RISKQ2

INVESTMENT COMPANIESQ2

NONPARAMETRIC APPROACHESQ2

MONTE CARLO SIMULATION METHODQ2

Abstract

Since creating wealth is considered necessary for growth and development., for creating wealth investment is needed and the main source of investment is saving. Saving happens when a person delays his or her consumption in order to get a minimum consumption compared to present. So securing the investment is one of the most important concern for the investors. For this reason a lot of techniques has been appeared for predicting the RISKs of investment. In this paper after exploration theoretical model on nonparametheric predictors for value at RISK we have investigated 31 PORTFOLIO of active INVESTMENT COMPANIES in order to explaining this model in measuring value at RISK.

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APA: Copy

ZOMORRODIAN, GH., FALLAH SHAMS, M.F., PANAHI, YAGHOUB, & SAFARI KAHREH, ZAHRA. (2014). INVESTIGATING EXPLANATION CAPABILITY OF NONPARAMETRIC MODELS(MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISK IN PORTFOLIO OF INVESTMENT COMPANIES FOR INDICATING OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(20), 27-40. SID. https://sid.ir/paper/197739/en

Vancouver: Copy

ZOMORRODIAN GH., FALLAH SHAMS M.F., PANAHI YAGHOUB, SAFARI KAHREH ZAHRA. INVESTIGATING EXPLANATION CAPABILITY OF NONPARAMETRIC MODELS(MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISK IN PORTFOLIO OF INVESTMENT COMPANIES FOR INDICATING OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;5(20):27-40. Available from: https://sid.ir/paper/197739/en

IEEE: Copy

GH. ZOMORRODIAN, M.F. FALLAH SHAMS, YAGHOUB PANAHI, and ZAHRA SAFARI KAHREH, “INVESTIGATING EXPLANATION CAPABILITY OF NONPARAMETRIC MODELS(MONTE CARLO) IN MEASURING THE AMOUNT OF VALUE AT RISK IN PORTFOLIO OF INVESTMENT COMPANIES FOR INDICATING OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 20, pp. 27–40, 2014, [Online]. Available: https://sid.ir/paper/197739/en

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