ACTIVE PORTFOLIO MANAGEMENT WITH BENCH MARKING: ADDING A VALUE-AT-RISK CONSTRAINT

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RAHNAMA RODPOSHTI F.; GHANDEHARI SHARAREH

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:24 Page(s): 91-113

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Information Journal Paper

Title

ACTIVE PORTFOLIO MANAGEMENT WITH BENCH MARKING: ADDING A VALUE-AT-RISK CONSTRAINT

Author(s)

RAHNAMA RODPOSHTI F. | GHANDEHARI SHARAREH | Issue Writer Certificate

Keywords

GARCHQ2

TEVQ2

VARQ2

Abstract

This research has been done for scientific purposes to determine portfolio model and practical purposes from testing TEV and VAR models in Iran Capital Market. To done research, VARiables EPS, NI, MV, BV, CFO and MTB for 77 companies in Tehran Stock Exchenge from 1386 to 1391.Have been used to estimate VAR with using VAR and CVaR and GARCH models, at first, data loaded in software. By using these 3 models, VAR has been estimated for all 77 companies. The reason of estimation VAR by using CVaR shows that VAR in the certainty levels 1%, 5%, 10% are different with each other. By increase the certainly levels, VAR increase, too. Also, the reason of Kupic testing shows that two models are reliable and attributable. At the end of study to ranking two models, Lopez testing has been carried out based on which the number of errors for CVaR model is less than GARCH model.

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APA: Copy

RAHNAMA RODPOSHTI, F., & GHANDEHARI, SHARAREH. (2015). ACTIVE PORTFOLIO MANAGEMENT WITH BENCH MARKING: ADDING A VALUE-AT-RISK CONSTRAINT. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(24), 91-113. SID. https://sid.ir/paper/197907/en

Vancouver: Copy

RAHNAMA RODPOSHTI F., GHANDEHARI SHARAREH. ACTIVE PORTFOLIO MANAGEMENT WITH BENCH MARKING: ADDING A VALUE-AT-RISK CONSTRAINT. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(24):91-113. Available from: https://sid.ir/paper/197907/en

IEEE: Copy

F. RAHNAMA RODPOSHTI, and SHARAREH GHANDEHARI, “ACTIVE PORTFOLIO MANAGEMENT WITH BENCH MARKING: ADDING A VALUE-AT-RISK CONSTRAINT,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 24, pp. 91–113, 2015, [Online]. Available: https://sid.ir/paper/197907/en

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