Authors
Abstract
In a risky situation probabilities of states are available.Until recently, normal distribution has been used widely in financial applications for a risky situation. Recent studies have shown that normal distribution is not appropriate for financial data and that simple variance of data as an index of riskiness is a misleading indicator of riskiness. Aumann-Serrano (2008) introduce a new economic index of riskiness to overcome these problems. In this research we use Aumann-Serrano Index to build an optimal portfolio for 23 major stocks in Tehran Stock Exchange. We compare our results with equally weighted portfolio and sharpe-ratio based portfolio and find that economic index of riskiness outperforms others with a 50.6 percent return.
Keywords
طالبلو، رضا و عریانی، بهاره (1394)، اقتصاد مالی، جلد اول، چاپ اول، انتشارات سمت ، 500 صفحه، ترجمه کتاب financial economics ، تالیف F. Fabozzi, E. H. Neave, and G Zhou ،انتشارات John Wiley and Sons، چاپ اول 2012
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