SELECT THE OPTIMUM STOCK PORTFOLIO INVESTMENT BASED ON CANONICAL CORRELATION ANALYSIS FOR MEMBER FIRMS OF TEHRAN STOCK EXCHANGE

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AGHASI SAEID; AGHASI EHSAN; BIGLARI SAHAR

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2018 | Volume:10 | Issue:36 Page(s): 119-131

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Title

SELECT THE OPTIMUM STOCK PORTFOLIO INVESTMENT BASED ON CANONICAL CORRELATION ANALYSIS FOR MEMBER FIRMS OF TEHRAN STOCK EXCHANGE

Author(s)

AGHASI SAEID | AGHASI EHSAN | BIGLARI SAHAR | Issue Writer Certificate

Keywords

PORTFOLIO OPTIMIZATIONQ2

TEHRAN STOCK EXCHANGEQ2

CANONICAL CORRELATION ANALYSISQ2

DAILY RATE OF RETURNQ2

Abstract

In recent years, financial markets, and especially the capital market has been a significant expansion in the international and country levels and sudden changes in economic behavior and perception of investors of the market situation affected. The main problem in choosing the optimal PORTFOLIO OPTIMIZATION assets and securities that can be provided with a certain amount of capital. Although minimize risk and maximize return on investment comes in plain view, but in practice has been used several approaches to PORTFOLIO OPTIMIZATION.In this study, to determine the optimal portfolio based on CANONICAL CORRELATION ANALYSIS on companies active in the TEHRAN STOCK EXCHANGE during the year 1394 were discussed. Methods cross-sectional study of a sample of 42 companies included in the index returns daily adjustment of the top 50 companies in the period is three months. Based on CANONICAL CORRELATION ANALYSIS showed, 42 samples in the form of two pairs of canonical variables, each linear combinations of the daily rates of return were, were adjusted and petrochemical allocated and the remaining 155 units will be assigned in other industries desired.

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APA: Copy

AGHASI, SAEID, AGHASI, EHSAN, & BIGLARI, SAHAR. (2018). SELECT THE OPTIMUM STOCK PORTFOLIO INVESTMENT BASED ON CANONICAL CORRELATION ANALYSIS FOR MEMBER FIRMS OF TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 10(36), 119-131. SID. https://sid.ir/paper/200076/en

Vancouver: Copy

AGHASI SAEID, AGHASI EHSAN, BIGLARI SAHAR. SELECT THE OPTIMUM STOCK PORTFOLIO INVESTMENT BASED ON CANONICAL CORRELATION ANALYSIS FOR MEMBER FIRMS OF TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2018;10(36):119-131. Available from: https://sid.ir/paper/200076/en

IEEE: Copy

SAEID AGHASI, EHSAN AGHASI, and SAHAR BIGLARI, “SELECT THE OPTIMUM STOCK PORTFOLIO INVESTMENT BASED ON CANONICAL CORRELATION ANALYSIS FOR MEMBER FIRMS OF TEHRAN STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 10, no. 36, pp. 119–131, 2018, [Online]. Available: https://sid.ir/paper/200076/en

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