the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

in this article, we will estimate efficiency amountof decision-making unit by offering the continuous piecewise polynomialextrapolation and interpolation by ccr model input-oriented on the assumptionthat it is constant returns to scale in different times. and finally, we willestimate efficiency amount of decision-making unit indifferent times byoffering an example.

sueyoshi and sekitani in 2007 presented a paper that explores the measurement of returns to scale under a possible occurrence of multiple solution in a reference set and a supporting hyperplane. the occurrence ofmultiple solutions is classified into type i and type ii. type i is an occurrence of multiple solutions in a reference set. type ii is an occurrence of multiple solutions on a supportin...

modern portfolio theories are based on markowitz’s portfolio optimization model that involves the assumption of mean variance behavior and therefore require the asymmetry and normality of returns. this issue also affects the capital asset pricing model that estimates systematic risk and uses it in pricing securities. this article analyzes the various measures of risk. the main purpose of this r...

the present research aims to evaluate impacts of crude oil price return index, bloomberg petroleum index and bloomberg energy index on stock market returns of 121 companies listed in tehran stock exchange in a 10 years' period from early 2006 to april 2016. first, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. subsequently, to che...