INVESTIGATION OPTIMIZE PORTFOLIO WITH USE OF VAR-MULTIVARIATE GARCH

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

HOSSEYNI IMENI S.A.; NAJAFI A.A.

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

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2014 | Volume:6 | Issue:20 Page(s): 29-44

Download Full-Text

Persian Verion

View:

1,057

Download:

Cites:

Information Journal Paper

Title

INVESTIGATION OPTIMIZE PORTFOLIO WITH USE OF VAR-MULTIVARIATE GARCH

Author(s)

HOSSEYNI IMENI S.A. | NAJAFI A.A. | Issue Writer Certificate

Keywords

FINANCIAL CRISESQ2

LIQUIDITYQ3

MULTIVARIATE GARCHQ3

VALUE AT RISKQ2

OPTIMIZATIONQ2

Abstract

Analyzing most of world FINANCIAL CRISES showed that, illiquid assets were the most important factor in the occurrence of these crises. So, it's necessary for investment institutes to consider LIQUIDITY risks in addition to calculate returns volatility risk in their long term investment strategies to gain the highest revenue. This research is going to suggest the optimum portfolio of Tehran Stock Exchange industries with focus in relationship between these industries and their bid-ask spread by VAR-Multivariate GARCH and VALUE AT RISK approach. For this purpose, optimum portfolio of these industries was comprised in two cases-considering LIQUIDITY risk and regardless of this risk. Results showed that, Multidisciplinary industrial, Communication and Bank industries had the most quotas in portfolio, when we didn't consider LIQUIDITY risk. However Automobile industry will replace Bank industry if we consider LIQUIDITY risk parameters.

Cites

No record.

References

Cite

APA: Copy

HOSSEYNI IMENI, S.A., & NAJAFI, A.A.. (2014). INVESTIGATION OPTIMIZE PORTFOLIO WITH USE OF VAR-MULTIVARIATE GARCH. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 6(20), 29-44. SID. https://sid.ir/paper/200066/en

Vancouver: Copy

HOSSEYNI IMENI S.A., NAJAFI A.A.. INVESTIGATION OPTIMIZE PORTFOLIO WITH USE OF VAR-MULTIVARIATE GARCH. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2014;6(20):29-44. Available from: https://sid.ir/paper/200066/en

IEEE: Copy

S.A. HOSSEYNI IMENI, and A.A. NAJAFI, “INVESTIGATION OPTIMIZE PORTFOLIO WITH USE OF VAR-MULTIVARIATE GARCH,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 6, no. 20, pp. 29–44, 2014, [Online]. Available: https://sid.ir/paper/200066/en

Related Journal Papers