The Application of Aumann-Serrano Index of Riskiness in Portfolio Optimization: A Case Study of Tehran Stock Exchange
| Autor: | Reza Talebloo, Moloud Rahmaniani |
|---|---|
| Jazyk: | perština |
| Rok vydání: | 2015 |
| Předmět: | |
| Zdroj: | فصلنامه پژوهشهای اقتصادی ایران, Vol 20, Iss 64, Pp 117-150 (2015) |
| Druh dokumentu: | article |
| ISSN: | 1726-0728 2476-6445 |
| DOI: | 10.22054/ijer.2015.4608 |
| Popis: | In a risky situation probabilities of states are available.Until recently, normal distribution has been used widely in financial applications for a risky situation. Recent studies have shown that normal distribution is not appropriate for financial data and that simple variance of data as an index of riskiness is a misleading indicator of riskiness. Aumann-Serrano (2008) introduce a new economic index of riskiness to overcome these problems. In this research we use Aumann-Serrano Index to build an optimal portfolio for 23 major stocks in Tehran Stock Exchange. We compare our results with equally weighted portfolio and sharpe-ratio based portfolio and find that economic index of riskiness outperforms others with a 50.6 percent return. |
| Databáze: | Directory of Open Access Journals |
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