The Application of Aumann-Serrano Index of Riskiness in Portfolio Optimization: A Case Study of Tehran Stock Exchange | ||
| پژوهشهای اقتصادی ایران | ||
| Article 5, Volume 20, Issue 64, October 2015, Pages 117-150 PDF (529.64 K) | ||
| DOI: 10.22054/ijer.2015.4608 | ||
| Authors | ||
| Reza Talebloo* ; Moloud Rahmaniani | ||
| 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 | ||
| Economic index of riskiness; Portfolio Management; Tehran Stock Exchange | ||
| References | ||
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