Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Shokoofeh Banihashemi"'
Publikováno v:
Entropy, Vol 25, Iss 9, p 1252 (2023)
The objective of this study is to evaluate assets’ performance by considering the exit time within the risk measurement framework alongside Shannon entropy and, alternatively, excluding these factors, which can be used to create a portfolio aligned
Externí odkaz:
https://doaj.org/article/67ac612470cc4f538e6161018d9737fb
Autor:
Shokoofeh Banihashemi, Sarah Navidi
Publikováno v:
Operations Research Perspectives, Vol 4, Iss , Pp 21-28 (2017)
As we know, there is a belief in the finance literature that Value at Risk (VaR) and Conditional Value at Risk (CVaR) are new approaches to manage and control the risk. Regard to, value at risk is not a coherent risk measure and it is not sub-additiv
Externí odkaz:
https://doaj.org/article/ef9933c677fb43edb7a81d66366ba6a3
Autor:
Seyedeh Masoumeh Mirsadeghpour Zoghi, Masoud Sanei, Ghasem Tohidi, Shokoofeh Banihashemi, Navideh Modarresi
Publikováno v:
Concurrency and Computation: Practice and Experience. 35
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8bc8bca40443ab60b741e8d52398b74f
https://doi.org/10.1002/cpe.7502
https://doi.org/10.1002/cpe.7502
Publikováno v:
Advances in Mathematical Finance and Applications, Vol 5, Iss 1, Pp 29-51 (2020)
The purpose of this study is to develop portfolio optimization and assets allocation using our proposed models. The study is based on a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Conventional DEA models assume no
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doajarticles::3ac7795af2c7039bfd47935d022fb475
http://amfa.iau-arak.ac.ir/article_666546_9ac8943256d5c0fdbc08683b73ec08c9.pdf
http://amfa.iau-arak.ac.ir/article_666546_9ac8943256d5c0fdbc08683b73ec08c9.pdf
Autor:
Sarah Navidi, Shokoofeh Banihashemi
Publikováno v:
Filomat. 32:815-823
The purpose of this study is to develop portfolio optimization and assets allocation using our proposed models. For this, three steps are considered. In the first step, the stock companies screen by their financial data. For second step, we need some
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b39045b2c4b921f90d2cd74f7a7aa8c
https://doi.org/10.2298/fil1803815b
https://doi.org/10.2298/fil1803815b
Publikováno v:
Filomat. 32:991-1001
This paper is a novel work of portfolio-selection problem solving using multi objective model considering four parameters, Expected return, downside beta coefficient, semivariance and conditional value at risk at a specified confidence level. Multi-p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::70bba6163f77777ffa9e4c3a44a8742f
https://doi.org/10.2298/fil1803991b
https://doi.org/10.2298/fil1803991b
Autor:
Shokoofeh Banihashemi
Publikováno v:
2019 3rd International Conference on Data Science and Business Analytics (ICDSBA).
According to the empirical evidence, financial returns show leptokurtosis, skewness and heavy-tailness. Regarding this behavior, we apply normal mixture mean variance distributions for portfolio management and allocating best weights for portfolio op
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3e77658edb9268872ccff6aa4b8563ef
https://doi.org/10.1109/icdsba48748.2019.00052
https://doi.org/10.1109/icdsba48748.2019.00052
Publikováno v:
AIP Conference Proceedings.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::34b62f45f97455a2e05e5d46e510eaaa
https://doi.org/10.1063/1.5049034
https://doi.org/10.1063/1.5049034