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Author = Hosseini, Ali

Number of Articles: 1
Optimal Portfolio Selection in the Stock Exchange: An Application of Value at Risk (VaR) Index

Javad Torkamani; Ali Hosseini

Volume 8, Issue 29 , February 2007, , Pages 75-92

Abstract
  The main objective of this paper is to determine the optimum portfolio of the Tehran Stock Exchange with respect to the Value at Risk (VaR) index. Daily data are on the shares of 30 active companies traded in the Tehran Stock Exchange with daily expected return above 0.4 percent in 2004. Optimum portfolio ...  Read More