Hierarchical Risk Parity as an Alternative to Conventional Methods of Portfolio Optimization: (A Study of Tehran Stock Exchange)

Marziyeh Nourahmadi; Hojjatollah Sadeqi

Volume 5, Issue 4 , November 2021, Pages 1-24


  One of the most critical investment issues faced by different investors is choosing an optimal investment portfolio and balancing risk and return in a way that, maximizes investment returns and minimize the investment risk. So far, many methods have been introduced to form a portfolio, the most famous ...  Read More

Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction

Maryam Bazraei; Salleh Ghavidel; Ghodratollah Emamverdi; Mahmoud Mahmoudzadeh

Volume 5, Issue 4 , November 2021, Pages 25-51


  In this study, we examine the correlation between stock returns of Export-oriented (EOIs) and Import-oriented (IOIs) industries and exchange rates, to derive stock-exchange optimal weights, attempting to manage the risk of investors in the capital market. To do so, the ADCC and DCC models are used. The ...  Read More

Detection of Bubbles in Tehran Stock Exchange Using Log-Periodic Power-Low Singularity Model

Ali Namaki; Mehrdad Haghgoo

Volume 5, Issue 4 , November 2021, Pages 52-63


  One of the essential factors that lead to severe disruptions in financial markets is price bubbles and subsequent crashes. Numerous models for detecting bubbles have been developed, one of which (LPPLS) has lately attracted considerable interest. This study aims to utilize this model to detect price ...  Read More

Information Content of Rating Banks Using Early Warnings Indicators

Shoeib Abbasi; Amin Nazemi; Navid Reza Namazi

Volume 5, Issue 4 , November 2021, Pages 64-86


  It is necessary for decision-makers to have a rating system in the banking industry in order to reflect the banks' status and performance. Although most institutions across the countries have rating banks and financial institutions, there is a lack of a comprehensive rating system across Iranian banks. ...  Read More

Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity

Sayed Mohammad Ebrahim Mirmohammadi; Mehdi Madanchi zaj; Hossein Panahian; Hossein Jabbary

Volume 5, Issue 4 , November 2021, Pages 87-106


  Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent assets. In the present study, the combined portfolio ...  Read More

Earnings Decomposition, Value Relevance and Predictability

Sasan Babaie

Volume 5, Issue 4 , November 2021, Pages 107-127


  Compared with net earnings, the components of earnings are more informative in companies whose components have different qualities of persistence and volatility. We examine the issue of whether net earnings together with their components have more information content than only net earnings. We construct ...  Read More