Presenting a planning model for measuring Conditional Drawdown-at-Risk in the Iranian Stock Exchange market
Subject Areas : Financial engineeringSeyed Ali Nabavi chashmi 1 , Ahmad Dadashpour omrani 2 , Erfan Memarian 3
1 - Department of management, Babol Branch, Islamic Azad university, Babol, Iran,
2 - Department of economic ,Babol Branch, Islamic azad university, Babol, Iran
3 - Department of Economy, Babol branch, Islamic Azad University, Babol, Iran
Keywords: portfolio, risk assessment, mathematical planning, Conditional Drawdown-at-Risk. capital market,
Abstract :
Today, investors use different risk measurement criteria so that, apart from the principle of risk aversion, investors have always tried to optimize the relationship between risk and return on operations. Therefore, in this article, which has been done in the context of the Iranian capital market, a new mathematical model of adverse conditional risk for measuring portfolio risk has been presented. Also, to show an empirical example in the Iranian capital market, we selected fifteen shares out of the top fifty stocks in the 12 months to 1398. This method wants to express the simple fact that the investor at the time of his investment He is content to make an unforeseen profit, not when he loses. Because this measure expresses the inadequacy of the stock portfolio and the decline in the value of the composite portfolio compared to the highest value achieved in the past, investors can accurately measure their portfolio risk to the stock portfolio. Achieve the highest return and lowest risk.
