Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method
Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types...
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Islamic Azad University of Arak
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doaj-1b7991a12265477a84c49912f08b96b02020-11-25T02:04:18ZengIslamic Azad University of ArakAdvances in Mathematical Finance and Applications2538-55692645-46102017-03-01211710.22034/amfa.2017.529057529057Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH MethodAdel Azar0Mohsen Hamidian1Maryam Saberi2Mohammad Norozi3Faculty of Management & Economics , University of Tarbiat Modares , Tehran, IranFaculty of Economics & Accounting , University of Islamic Azad south Tehran, Tehran, IranFaculty of Management & Economics , University of Tarbiat Modares , Tehran, IranFaculty of Economics & Accounting , University of Islamic Azad south Tehran, Tehran, IranPortfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return on market.One way to control investment risk is establishing the portfolioshares. There are many ways to choose the optimal portfolioshares. Among these methods in this study we use loss functions.For this, we choose all firms from the year2011to the end of 2015that had been a member in the Tehran Stock Exchange. The resultsof this research show that the likelihood functions have the bestperformance in Forecasting the optimal portfolio allocationprob-lem.http://amfa.iau-arak.ac.ir/article_529057_9d2abe9a9e638a2575215deb01974db0.pdfLoss functionsPortfolio allocationEvaluating forecasts |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Adel Azar Mohsen Hamidian Maryam Saberi Mohammad Norozi |
spellingShingle |
Adel Azar Mohsen Hamidian Maryam Saberi Mohammad Norozi Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method Advances in Mathematical Finance and Applications Loss functions Portfolio allocation Evaluating forecasts |
author_facet |
Adel Azar Mohsen Hamidian Maryam Saberi Mohammad Norozi |
author_sort |
Adel Azar |
title |
Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method |
title_short |
Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method |
title_full |
Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method |
title_fullStr |
Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method |
title_full_unstemmed |
Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method |
title_sort |
evaluating the performance of forecasting models for portfolio allocation purposes with generalized grach method |
publisher |
Islamic Azad University of Arak |
series |
Advances in Mathematical Finance and Applications |
issn |
2538-5569 2645-4610 |
publishDate |
2017-03-01 |
description |
Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return on market.One way to control investment risk is establishing the portfolioshares. There are many ways to choose the optimal portfolioshares. Among these methods in this study we use loss functions.For this, we choose all firms from the year2011to the end of 2015that had been a member in the Tehran Stock Exchange. The resultsof this research show that the likelihood functions have the bestperformance in Forecasting the optimal portfolio allocationprob-lem. |
topic |
Loss functions Portfolio allocation Evaluating forecasts |
url |
http://amfa.iau-arak.ac.ir/article_529057_9d2abe9a9e638a2575215deb01974db0.pdf |
work_keys_str_mv |
AT adelazar evaluatingtheperformanceofforecastingmodelsforportfolioallocationpurposeswithgeneralizedgrachmethod AT mohsenhamidian evaluatingtheperformanceofforecastingmodelsforportfolioallocationpurposeswithgeneralizedgrachmethod AT maryamsaberi evaluatingtheperformanceofforecastingmodelsforportfolioallocationpurposeswithgeneralizedgrachmethod AT mohammadnorozi evaluatingtheperformanceofforecastingmodelsforportfolioallocationpurposeswithgeneralizedgrachmethod |
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1724943308776538112 |