THE IMPACT OF STRUCTURAL DEPENDENCE ON THE EFFICIENT FRONTIER OF PORTFOLIO CHANGES AND COMPARISON WITH TRADITIONAL METHODS IN TEHRAN STOCK EXCHANGE (COPULA FUNCTIONS)

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SALEHI MEHDI; ZAMANI MOGHADDAM SAMANEH

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2016 | Volume:9 | Issue:29 Page(s): 41-56

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Title

THE IMPACT OF STRUCTURAL DEPENDENCE ON THE EFFICIENT FRONTIER OF PORTFOLIO CHANGES AND COMPARISON WITH TRADITIONAL METHODS IN TEHRAN STOCK EXCHANGE (COPULA FUNCTIONS)

Author(s)

SALEHI MEHDI | ZAMANI MOGHADDAM SAMANEH | Issue Writer Certificate

Keywords

COPULA FUNCTIONQ3

EFFICIENT FRONTIERQ2

THE DEPENDENCE STRUCTUREQ2

VALUE AT RISKQ2

Abstract

Markowitz optimization problem and to determine the EFFICIENT FRONTIER of investment, when the number of assets and restrictions on investment in the market is low, the mathematical model is solved. But this mathematical approach can reply different provider that sometimes it is more accurate and more complete. In this paper, we examine THE DEPENDENCE STRUCTURE between time series Tehran Stock Exchange market indices and exchange rate of the dollar and its impact on the EFFICIENT FRONTIER portfolios have covered.The results show that the upper tail dependence indices is less than the lower tail dependence, this means that the decline in the dollar exchange rate indices are reduced, but with the rise in the dollar exchange rate accepted in Tehran stock Exchange index increase is lower. We also propose a new optimization program where the risk is worth the risk and return of joint function is estimated. The results show that the upper tail dependence indices is less than the lower tail dependence.

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APA: Copy

SALEHI, MEHDI, & ZAMANI MOGHADDAM, SAMANEH. (2016). THE IMPACT OF STRUCTURAL DEPENDENCE ON THE EFFICIENT FRONTIER OF PORTFOLIO CHANGES AND COMPARISON WITH TRADITIONAL METHODS IN TEHRAN STOCK EXCHANGE (COPULA FUNCTIONS). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(29), 41-56. SID. https://sid.ir/paper/200132/en

Vancouver: Copy

SALEHI MEHDI, ZAMANI MOGHADDAM SAMANEH. THE IMPACT OF STRUCTURAL DEPENDENCE ON THE EFFICIENT FRONTIER OF PORTFOLIO CHANGES AND COMPARISON WITH TRADITIONAL METHODS IN TEHRAN STOCK EXCHANGE (COPULA FUNCTIONS). FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2016;9(29):41-56. Available from: https://sid.ir/paper/200132/en

IEEE: Copy

MEHDI SALEHI, and SAMANEH ZAMANI MOGHADDAM, “THE IMPACT OF STRUCTURAL DEPENDENCE ON THE EFFICIENT FRONTIER OF PORTFOLIO CHANGES AND COMPARISON WITH TRADITIONAL METHODS IN TEHRAN STOCK EXCHANGE (COPULA FUNCTIONS),” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 9, no. 29, pp. 41–56, 2016, [Online]. Available: https://sid.ir/paper/200132/en

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