Portfolio Optimization based on the Risk Minimization by the Weight-Modified CVaR vs. CVaR Method

Mohammad Esmaeil Fadaeinejad; Mohamad Taghi Vaziri; Hossein Asadi; Mohammad Javad Faryadras

Volume 6, Issue 2 , April 2022, , Pages 70-94

https://doi.org/10.30699/ijf.2021.311328.1281

Abstract
  Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based ...  Read More

The Design of Relationship Model between (IRAN) Economic Markets Return and Capital Market Return Exploiting Comonotonicity in Probability Theory

Mohammad Esmaeil Fadaeinezad; Hamid Banaeian

Volume 3, Issue 3 , July 2019, , Pages 89-106

https://doi.org/10.22034/ijf.2020.214153.1101

Abstract
  This paper investigates the design of an efficient model so as to anticipate the basic economic market rate of returns. To do so, accepting the relationships, interactions and effectiveness of these markets and exploiting Comonotonic Functions under Probability Function Framework as well as using weekly ...  Read More