Forming Efficient Frontier in Stock Portfolios by Utility Function, Risk Aversion, and Target Return

Ahmad Farahani Darestani; Mohammadreza Miri Lavasani; Hamidreza Kordlouie; Ghodratallah Talebnia

Volume 6, Issue 2 , April 2022, , Pages 95-119

https://doi.org/10.30699/ijf.2021.256924.1172

Abstract
  Asset allocation has always been a challenging issue / for individuals and businesses to survive in our competitive world. One of the famous businesses, which has an enormous impact on people's lives worldwide, is the pension industry. Pension funds- as Defined Benefit, Defined Contribution, or others- ...  Read More

Comparison of linear regression models Ordinary Lasso, Adaptive Group Lasso and Ordinary Least Squares models in selecting effective characteristics to predict the expected return

Raheleh ossadat Mortazavi; Hamid Reza Vakilifard; Ghodratallah Talebnia; Seyedeh Mahboobeh Jafari

Volume 2, Issue 3 , July 2018, , Pages 49-69

https://doi.org/10.22034/ijf.2018.96161

Abstract
  In this study, for the selection of the characteristics of the company that provides the incremental information to investors and financial analysts, the linear models are adapted by the ordinary Lasso method (Tibshirani, 1996), Adaptive Group LASSO (Zu, 2006) and the least squares method (OLS). The ...  Read More