Determination of the optimal investment portfolio using CAPM in Tehran Stock Exchange industries: A VAR-Multivariate GARCH approach
This study determines the optimal investment portfolio in Tehran Stock Exchange (TSE) industries. For this purpose, a conditional capital asset pricing model (CAPM) with time-varying covariance, according to a Multivariate GARCH approach has been formulated. According to this conditional CAPM, the c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2013-01-01
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| Series: | International Journal of Industrial Engineering Computations |
| Subjects: | |
| Online Access: | http://www.growingscience.com/ijiec/Vol3/IJIEC_2012_67.pdf |