A EVALUATION POWER OF VALUE AT RISK (VAR) MODEL AND FAMA & FRENCH 3-FACTOR ESTIMATION MODEL SELECTING OPTIMAZED PORTFOLIO OF STOCK IN STOCKS MARKET OF TEHRAN IN YEAR 2001-2008

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TALEBNIYA GH.; NEZAMABADI F.A.

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Journal: MANAGEMENT ACCOUNTING Year:2010 | Volume:3 | Issue:6 Page(s): 49-62

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Title

A EVALUATION POWER OF VALUE AT RISK (VAR) MODEL AND FAMA & FRENCH 3-FACTOR ESTIMATION MODEL SELECTING OPTIMAZED PORTFOLIO OF STOCK IN STOCKS MARKET OF TEHRAN IN YEAR 2001-2008

Author(s)

TALEBNIYA GH. | NEZAMABADI F.A. | Issue Writer Certificate

Keywords

OPTIMAZED PORTFOLIO OF STOCKQ3

FRENCH FACTOR MODELQ2

VALUE AT RISK MODEQ3

Abstract

If investors inrest all their stocks in one special possesson, they may confront with many risck and only gain major capital but also minor capital too. So, they select set of investories in their decisions, so that set is the best of possible set from investory, until, they can gain access to their optimum output that is close to market output. Aim of this search is that with use from 2 models such as 3 Fama & French factors and VALUE AT RISK MODEl, in Power of estimation models for selection of best portfolio, to designers is helped. Hypothesis of this search is based on this subject that everyone has foresight ability estimation optimazed portfolio. Atlast, after to do test of hypothesis by regresion, this result is Fama & French 3-factor has power of suggestion in selection of optimazed portfolio and Value at Risk moel has power of suggestion in selection of optimazed portfolio.

Cites

TO COMPARE THE EXPLANATORY POWER OF THE FIVE-FACTOR FAMA FRENCH MODEL WITH CARHART AND Q-FACTOR MODELS: EVIDENCES FROM TEHRAN STOCK EXCHANGE

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APA: Copy

TALEBNIYA, GH., & NEZAMABADI, F.A.. (2010). A EVALUATION POWER OF VALUE AT RISK (VAR) MODEL AND FAMA & FRENCH 3-FACTOR ESTIMATION MODEL SELECTING OPTIMAZED PORTFOLIO OF STOCK IN STOCKS MARKET OF TEHRAN IN YEAR 2001-2008. MANAGEMENT ACCOUNTING, 3(6), 49-62. SID. https://sid.ir/paper/198751/en

Vancouver: Copy

TALEBNIYA GH., NEZAMABADI F.A.. A EVALUATION POWER OF VALUE AT RISK (VAR) MODEL AND FAMA & FRENCH 3-FACTOR ESTIMATION MODEL SELECTING OPTIMAZED PORTFOLIO OF STOCK IN STOCKS MARKET OF TEHRAN IN YEAR 2001-2008. MANAGEMENT ACCOUNTING[Internet]. 2010;3(6):49-62. Available from: https://sid.ir/paper/198751/en

IEEE: Copy

GH. TALEBNIYA, and F.A. NEZAMABADI, “A EVALUATION POWER OF VALUE AT RISK (VAR) MODEL AND FAMA & FRENCH 3-FACTOR ESTIMATION MODEL SELECTING OPTIMAZED PORTFOLIO OF STOCK IN STOCKS MARKET OF TEHRAN IN YEAR 2001-2008,” MANAGEMENT ACCOUNTING, vol. 3, no. 6, pp. 49–62, 2010, [Online]. Available: https://sid.ir/paper/198751/en

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