MODIFIED STANDARD RISK ASSESSMENT BASED ON OPTIMAL CAPACITY INVESTMENT DECISIONS AND PORTFOLIO OPTIMIZATION (INFRASTRUCTURE SPECULATION AND NEW FINANCIAL INSTRUMENT)

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RAHNAMAYE ROODPOSHTI FEREYDOON; MIRABASI YAVAR

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Paper Information

Journal: ISLAMIC FINANCE RESEARCHES Year:2013 | Volume:2 | Issue:2 (4) Page(s): 87-122

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Information Journal Paper

Title

MODIFIED STANDARD RISK ASSESSMENT BASED ON OPTIMAL CAPACITY INVESTMENT DECISIONS AND PORTFOLIO OPTIMIZATION (INFRASTRUCTURE SPECULATION AND NEW FINANCIAL INSTRUMENT)

Author(s)

RAHNAMAYE ROODPOSHTI FEREYDOON | MIRABASI YAVAR | Issue Writer Certificate

Keywords

RISK MEASUREQ3

UPSIDE POTENTIALQ3

DOWNSIDE RISKQ3

LOWER PARTIAL MOMENTUMQ3

UPPER PARTIAL MOMENTUMQ3

UPSIDE POTENTIAL ADJUSTED LOWER PARTIAL MOMENTUMQ3

Abstract

In order to use an Islamic financial instrument, this paper intends to measure and evaluate negative and positive deviations from target rate of return in investment opportunity evaluation, that leads to presenting an UPSIDE POTENTIAL- adjusted RISK MEASURE. This RISK MEASURE named UPSIDE POTENTIAL Adjusted RISK MEASURE (ALPM) is generally applicable and provides assumptions of Variance, DOWNSIDE RISK, LPM and UPM leading to the same results. It adjusts the DOWNSIDE RISK of an investment opportunity by using the investors's personal viewpoints and incorporates the probability and the size of UPSIDE POTENTIAL in RISK MEASUREment. ALPM, which is applicable in individual security RISK MEASUREment and portfolio optimization, calculates risk by DOWNSIDE RISK and UPSIDE POTENTIAL.ALPM can solve important paradoxes of decision making, namely the Allais, the Ellsberg and the St. Petersburg Paradox, and is applicable in portfolio optimization in order to maximize the expected rate of return and minimize the UPSIDE POTENTIAL adjusted risk.

Cites

INFLATION RISK MANAGEMENT IN PROJECT FINANCE INVESTMENTS

References

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APA: Copy

RAHNAMAYE ROODPOSHTI, FEREYDOON, & MIRABASI, YAVAR. (2013). MODIFIED STANDARD RISK ASSESSMENT BASED ON OPTIMAL CAPACITY INVESTMENT DECISIONS AND PORTFOLIO OPTIMIZATION (INFRASTRUCTURE SPECULATION AND NEW FINANCIAL INSTRUMENT). ISLAMIC FINANCE RESEARCHES, 2(2 (4)), 87-122. SID. https://sid.ir/paper/254911/en

Vancouver: Copy

RAHNAMAYE ROODPOSHTI FEREYDOON, MIRABASI YAVAR. MODIFIED STANDARD RISK ASSESSMENT BASED ON OPTIMAL CAPACITY INVESTMENT DECISIONS AND PORTFOLIO OPTIMIZATION (INFRASTRUCTURE SPECULATION AND NEW FINANCIAL INSTRUMENT). ISLAMIC FINANCE RESEARCHES[Internet]. 2013;2(2 (4)):87-122. Available from: https://sid.ir/paper/254911/en

IEEE: Copy

FEREYDOON RAHNAMAYE ROODPOSHTI, and YAVAR MIRABASI, “MODIFIED STANDARD RISK ASSESSMENT BASED ON OPTIMAL CAPACITY INVESTMENT DECISIONS AND PORTFOLIO OPTIMIZATION (INFRASTRUCTURE SPECULATION AND NEW FINANCIAL INSTRUMENT),” ISLAMIC FINANCE RESEARCHES, vol. 2, no. 2 (4), pp. 87–122, 2013, [Online]. Available: https://sid.ir/paper/254911/en

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