The main objective of this research is to optimize the stock portfolio of investment companies operating in the field of petrochemical and refining industries through minimizing risk with respect to the expected return. In this regard, first of all, the compositions of sample firm's portfolios were investigated during 2013 to 2016 and high-weight industries were selected. Then, the risk of retu...

this paper investigates asset growth pricing in firm-level cross section stock return in tehran stock exchange for the period from 1379 to 1389. in order to test cross section stock return predictability by the firm's asset growth, the relation between asset growth rate and subsequent stock return is examined in a sample of 280 firms using portfolio analysis approach and fama-macbeth (1973...

One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

Stock market prediction is important and of great interest because successful prediction of stock prices may promise attractive benefits. These tasks are highly complicated and very difficult. In this paper, we investigate the predictability of stock market return with Adaptive Network-Based Fuzzy Inference System (ANFIS). The objective of this study is to determine whether an ANFIS algorithm i...

in this study, we focused on tehran stock exchange market analysis based on applying moving average rules. the tehran stock exchange in the middle east has evolved into an exciting and growing marketplace where individual and institutional investor trade securities of over 420 companies. in an attempt to examine the ability to earn excess return by exploiting moving average rules, the average a...

the purpose of this research is investigation of application of the arbitrage pricing theory and effect of unanticipated changes in a set of macroeconomic variables such as inflation rate, money supply, exchange rate, oil price, term structure and industrial production on expected security return in tehran stock exchange. in this research, data are analyzed quarterly for the period of 1997-2008...

The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...

abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...