Risk Reduction of Portfolio based on Generalized Autoregressive Conditional Heteroscedasticity Model in Tehran Stock Exchange
Return maximization or risk minimization is goal in portfolio optimization based on mean variance theory. The structure of correlation matrices and individual variance of each asset are two main factors in optimization with risk minimization object. It’s necessary to use appropriate variance and cor...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2012-07-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_36630_d543cb69f2bf0d78b22f02fbb002ee18.pdf |