Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity
<strong>Objective:</strong> Risk management is one of the most important areas of study in finance, and its vital role in the field has attracted the attention of managers and investors in in various sectors of the industry. Especially in recent years, with the onset of financial crises,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2020-07-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_77145_22e6548d237471781520438f4c3e5978.pdf |