Portfolio Risk Measurement with Asymmetric Tail Dependence in Tehran Stock Exchange
Objective: Portfolio risk measurement has always been one crucial aspect of finance. Several approaches have been modeled through time and some traditional approaches are criticized by researchers. Traditional methods use the Gaussian approach that it been used normal distribution for assets return....
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| Format: | Article |
| Language: | fas |
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University of Tehran
2021-02-01
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| Series: | تحقیقات مالی |
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| Online Access: | https://jfr.ut.ac.ir/article_80200_326e0ee06885d617875927dc6f1312a0.pdf |