Autumn 2021, Volume 5 - Number 4 رتبه ب (وزارت علوم)
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Hierarchical Risk Parity as an Alternative to Conventional Methods of Portfolio Optimization: (A Study of Tehran Stock Exchange)
نویسنده : Nourahmadi، Marziyeh ؛ Sadeqi، Hojjatollah ؛
(24 صفحه - از 1 تا 24 )
کلیدواژه ها: Machine learning portfolio optimization Minimum variance Hierarchical Risk Parity
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Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction
نویسنده : Bazraei، Maryam ؛ Ghavidel، Salleh ؛ Mahmoudzadeh، Mahmoud ؛ نویسنده مسئول : Emamverdi، Ghodratollah ؛
(27 صفحه - از 25 تا 51 )
کلیدواژه ها: Exchange Rate Stock Market Dynamic Conditional Correlation Optimal portfolio
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Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model
نویسنده : Namaki، Ali ؛ نویسنده مسئول : Haghgoo، Mehrdad ؛
(12 صفحه - از 52 تا 63 )
کلیدواژه ها: Price bubbles LPPLS Confidence multi-scale indicators model Financial Crash
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Information Content of Rating Banks Using Early Warnings Indicators
نویسنده : Abbasi، Shoeib ؛ Namazi، Navid Reza ؛ نویسنده مسئول : Nazemi، Amin ؛
(23 صفحه - از 64 تا 86 )
کلیدواژه ها: Rating Bank Market Reaction Quantitative Aspects Qualitative Aspects
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Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity
نویسنده مسئول : Mirmohammadi، Sayed Mohammad Ebrahim ؛ نویسنده : Madanchi Zaj، Mehdi ؛ Panahian، Hossein ؛ Jabbary، Hossein ؛
(20 صفحه - از 87 تا 106 )
کلیدواژه ها: Particle swarm optimization algorithm Sharpe Ratio Risk parity portfolio Relative robustness
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Earnings Decomposition, Value Relevance and Predictability
نویسنده مسئول : Babaie، Sasan ؛
(21 صفحه - از 107 تا 127 )
کلیدواژه ها: Volatility Persistence value relevance Predictability Earnings Components