文章基本信息

标题：Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method
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作者：Adel Azar ; Mohsen Hamidian ; Maryam Saberi 等
期刊名称：Advances in Mathematical Finance and Applications
印刷版ISSN：2538-5569
电子版ISSN：2645-4610
出版年度：2017
卷号：2
期号：1
页码：1-7
DOI：10.22034/amfa.2017.529057
语种：English
出版社：Islamic Azad University of Arak
摘要：Portfolio theory assumes that investors accept risk. This means thatin the equal rate of return on the two assets, the assets were chosenthat have a lower risk level. Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market. Sothey keep many different types of securities in order to access theoptimum efficiency rate that is close to the rate of return on market.One way to control investment risk is establishing the portfolioshares. There are many ways to choose the optimal portfolioshares. Among these methods in this study we use loss functions.For this, we choose all firms from the year2011to the end of 2015that had been a member in the Tehran Stock Exchange. The resultsof this research show that the likelihood functions have the bestperformance in Forecasting the optimal portfolio allocationprob-lem.