Performance test to calculate the risk of classical general
Subject Areas : Journal of Investment Knowledge
Masoud Karimkhani
1
(
M.A of Economic Systems Planing, Islamic Azad University, Dehaghan branch, Iran
)
Maryam Abdoli
2
(
University Teacher of Pyam-Nour University, Young Researchers Club, Marand Branch, Islamic Azad University, Marand, Iran
)
Keywords: Efficiency, Market risk, methodology of Box – Jenkins,
Abstract :
Investment principles and methods of study and implementation, In order to select the best investment plan, it is done according to the rate of return and risk. General risk to the uncertainty arising from changing market conditions, such as: Changes in asset prices, interest rates, market volatility and market liquidity risks which led to the trading portfolio returns or financial institution will be valuable assets. In efficient markets for risk calculation, the standard deviation of market index returns are calculated. With regard to research performance in Tehran Stock Exchange, the standard deviation of these variables can easily be used as a risk. In order to study the time series model of Box - Jenkins was used to calculate risk. Then calculate the standard deviation of return and standard deviation of variable prediction errors Box - Jenkins was compared. And finally the general risks associated with market price on total revenue was reviewed. The results of this study show that the classical calculation of general risk factors such as standard deviation calculated risk could be the answer.The relation was also significant is the risk and cost. So investors in predicting the risk of price per share on revenue of use.
