Building a diversified portfolio is an appealing strategy in the analysis of stock market dynamics. It aims at reducing risk in market capital investments. Grouping stocks by similar latent trend can be cast into a clustering problem. The classical K-Means clustering algorithm does not fit the task of financial data analysis. Hence, we investigate Non-negative Matrix Factorization (NMF) techniq...

the purpose of resent research is to analysis and compares performance evaluation models of selected investment companies in tehran stock exchange market in the field of their portfolio management. the duration of research was between years 2009-2014. statistical society the research is consisting of all active investment companies in in tehran stock exchange market which were 30 companies. vol...

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...

Using a new dataset which contains monthly data on 1,015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular explanations of asset pricing behavior. Using portfolio analysis and Fama-MacBeth regressions, we find that st...

Background: The stock exchange, as a regulated financial market, in modern economies reflects their economic development level. The stock market indicates the mood of investors in the development of a country and is an important ingredient for growth. Objectives: This paper aims to introduce an additional statistical tool used to support the decision-making process in stock trading, and it inve...

This paper presents a multi-stock discrete time market model. In this model, we consider an optimal solution in the multi-stock portfolio selection. Specially, the model allows that the optimal strategy to maximize an exponent function of the expected value is quasi myopic.

The existence of an active and prosperous capital market is always recognized as one of the signs of international development in the countries. The most important issue faced by investors in these markets is the decision to choose the appropriate securities for investment and formation of optimal portfolio. The rating of companies accepted in stock exchange is a complete mirror of their status...

The dynamic replication strategy of Black and Scholes is important enough that it is worth repeating from last week. Recall the setup. From day k − 1 to day k, the stock (risky asset price) either goes up Sk−1 → Sk = uSk or goes down Sk = dSk−1 (recall that we actually did not necessarily need u > 1 or d < 1, but it is convenient to think of u as up and d as down.) The replicating portfolio is ...

Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return o...