THE CAPABILITY OF COMPARISON OF NONPARAMETRIC MODELS AND NERO NET IN CALCULATION OF VALUE AT RISK OF PORTFOLIO OF INVESTMENT COMPANIES FOR DETERMINING THE OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN

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ZOMORODIAN GHOLAMREZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:24 Page(s): 73-90

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Title

THE CAPABILITY OF COMPARISON OF NONPARAMETRIC MODELS AND NERO NET IN CALCULATION OF VALUE AT RISK OF PORTFOLIO OF INVESTMENT COMPANIES FOR DETERMINING THE OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN

Author(s)

ZOMORODIAN GHOLAMREZA | Issue Writer Certificate

Keywords

RISKQ2

RETURNQ2

PORTFOLIOQ2

VALUE AT RISKQ2

INVESTMENT COMPANIESQ2

NONPARAMETRIC METHODQ2

NERO NETWORKEQ2

Abstract

RISK is not separable from the life of human in the whole history. So noticing to the RISK was always existing. Evaluating RISK were existing in different ways. In today’s world which is so complicated understanding and calculating of the RISK has become so difficult. This calculation has become so difficult in financial market more. So there are many ways for this calculation from the simplest to the easiest. With regard to development in each country without investment there would be no develop. So ever investor for investment will need to item one is RETURN and the other one is RISK. calculating RETURN is not so much difficult, but the calculation of RISK is so difficult and is a qualitative variable. So for answering the need of investors many ways emerged to solve and explain the RISK. Between existing models two kind of models nonparametric and Nero net are investigated in this research in order to predict the value at RISK of 21 INVESTMENT COMPANIES in capital market of Iran. Then the best model is presented.

Cites

LIQUIDITY-ADJUSTED INTRADAY VALUE AT RISK MODELING AND RISK MANAGEMENT: BY USING VECTOR AUTO REGRESSION (VAR)

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APA: Copy

ZOMORODIAN, GHOLAMREZA. (2015). THE CAPABILITY OF COMPARISON OF NONPARAMETRIC MODELS AND NERO NET IN CALCULATION OF VALUE AT RISK OF PORTFOLIO OF INVESTMENT COMPANIES FOR DETERMINING THE OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(24), 73-90. SID. https://sid.ir/paper/197905/en

Vancouver: Copy

ZOMORODIAN GHOLAMREZA. THE CAPABILITY OF COMPARISON OF NONPARAMETRIC MODELS AND NERO NET IN CALCULATION OF VALUE AT RISK OF PORTFOLIO OF INVESTMENT COMPANIES FOR DETERMINING THE OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(24):73-90. Available from: https://sid.ir/paper/197905/en

IEEE: Copy

GHOLAMREZA ZOMORODIAN, “THE CAPABILITY OF COMPARISON OF NONPARAMETRIC MODELS AND NERO NET IN CALCULATION OF VALUE AT RISK OF PORTFOLIO OF INVESTMENT COMPANIES FOR DETERMINING THE OPTIMUM PORTFOLIO IN CAPITAL MARKET OF IRAN,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 24, pp. 73–90, 2015, [Online]. Available: https://sid.ir/paper/197905/en

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