In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...

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...

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Alternative selection of a portfolio has been a challenging research area in finance and investment decision making. Recent advances in single Decision Support Systems (DSS), soft computing and machine learning models are to solve the problems in selection of alternatives under uncertain market and risk environments. These models have not considered concurrently uncertain values including quant...

The analysis of the financial market always draws a lot of attention from investors and researchers. The trend of stock market is very complex and is influenced by various factors. Therefore to find out the most significant factors to the stock market is very important. Feature Selection is such an algorithm that can remove the redundant and irrelevant factors, and figure out the most significa...