return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...

This paper is the continuation of the paper entitled “Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I” that treats an infinite-time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can ma...

 Ambiguity in the inputs of the models is typical especially in portfolio selection problem where the true distribution of random variables is usually unknown. Here we use robust optimization approach to address the ambiguity in conditional-value-at-risk minimization model. We obtain explicit models of the robust conditional-value-at-risk minimization for polyhedral and correlated polyhedral am...

The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of th...

in financial matters, portfolio can be interpreted as a combination or a series of investments hold by an institution or a person. portfolio optimization is one of the most important concerns of investors for maximizing the portfolio in financial markets. the formation of portfolio is a vital and critical decision for the companies.  in fact, the selection of portfolio is to specify the capital...

this research aims to use var as a risk measure to find the optimum portfolio in tehran stock exchange. in this research var which is calculated with parametric method by using the 15 daily returns of 100 companies from march 21, 2001 to november 22, 2007 was added to the markowitz model of portfolio optimization as additional constraint. by changing the accepted var and accepted confidence lev...