Optimizing the stock portfolio with using a stop-loss point
Publish Year: 1397
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
IDS03_073
تاریخ نمایه سازی: 31 اردیبهشت 1398
Abstract:
This paper investigates the issue of stock portfolios optimizing when investors implement the stop strategy. And studies a new CVaR equation, known as SPP-CVaR. The SPP-CVaR method with optimizing the stock portfolio will be tested by using Iranian stock market data. The SPP-CVaR method can solve the uncertain time of stock sales due to the use of a stop strategy. By comparing test results, we intend to see whether theSPP-CVaR method is superior to the traditional CVaR method when investors implement the stop strategy
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Authors
N Sedaghati
Department of Financial Management, Malard branch, Islamic Azad university ,Malard, Iran
S Shahverdiani
Department of Financial Management, Shahr Qods Branch, Islamic Azad university, Tehran, Iran
M Ahadzadeh Namin
Department of Matematics, Shahr Qods Branch, Islamic Azad university, Tehran, Iran