Discuss Optimal Portfolio Efficiency in terms of Kurtosis Model in Phase environment

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Ghadrdan Ehsan; FAGHANI MAKRANI KHOSRO; Solgi Samira

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:31 Page(s): 249-263

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Title

Discuss Optimal Portfolio Efficiency in terms of Kurtosis Model in Phase environment

Author(s)

Ghadrdan Ehsan | FAGHANI MAKRANI KHOSRO | Solgi Samira | Issue Writer Certificate

Keywords

Optimum PortfolioQ1

Predicated RiskQ1

Predicated Yield Kurtosis ModelQ1

Classic ModelQ1

Abstract

The most important problem for investors, at the beginning stages of their works, is the way of assigning their investment to one or more different investment alternatives in such a way that with the least possible risk the maximum return become obtainable. In the economic literature this is known as the problem of portfolio selection. In present research, portfolio classic performance efficiency (Markowitz variance average model) was discussed in phase environment based on Kurtosis as target function. The research method Used in this study is post event semi empirical design. In this research, one discussed 195 monthly portfolios in 10 years (2007-2016) in companies accepted in Tehran stock exchange and risk and yield of portfolio was estimated in phase and classic environment. In another step, significant difference between risk and yield was predicated and the results showed that risk and yield have significant difference in phase environment based on kurtosis model.

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APA: Copy

Ghadrdan, Ehsan, FAGHANI MAKRANI, KHOSRO, & Solgi, Samira. (2019). Discuss Optimal Portfolio Efficiency in terms of Kurtosis Model in Phase environment. INVESTMENT KNOWLEDGE, 8(31 ), 249-263. SID. https://sid.ir/paper/382226/en

Vancouver: Copy

Ghadrdan Ehsan, FAGHANI MAKRANI KHOSRO, Solgi Samira. Discuss Optimal Portfolio Efficiency in terms of Kurtosis Model in Phase environment. INVESTMENT KNOWLEDGE[Internet]. 2019;8(31 ):249-263. Available from: https://sid.ir/paper/382226/en

IEEE: Copy

Ehsan Ghadrdan, KHOSRO FAGHANI MAKRANI, and Samira Solgi, “Discuss Optimal Portfolio Efficiency in terms of Kurtosis Model in Phase environment,” INVESTMENT KNOWLEDGE, vol. 8, no. 31 , pp. 249–263, 2019, [Online]. Available: https://sid.ir/paper/382226/en

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