Discuss Optimal Portfolio Efficiency in terms of Kurtosis Model in Phase environment

Subject Areas : Journal of Investment Knowledge

Ehsan Ghadrdan ¹ , Khosro Faghani Makrani ² , Samira Solgi ³

1 - Instructor of Accounting Payame Noor University, Iran.
2 - Assistant Prof. of Accounting, Islamic Azad University, Sari Branch, Iran.
3 - MSc. of Accounting, Islamic Azad University, Hamadan Branch, Iran. (Corresponding Author)

Received: 2017-10-05 Accepted : 2018-02-17 Published : 2019-09-23

Keywords: Optimum Portfolio, Predicated Risk, Predicated Yield, Kurtosis Model, Classic Model,

Abstract :

The most important problem for investors, at the beginning stages of their works, is the way of assigning their investment to one or more different investment alternatives in such a way that with the least possible risk the maximum return become obtainable. In the economic literature this is known as the problem of portfolio selection. In present research, portfolio classic performance efficiency (Markowitz variance average model) was discussed in phase environment based on Kurtosis as target function. The research method Used in this study is post event semi empirical design. In this research, one discussed 195 monthly portfolios in 10 years (2007-2016) in companies accepted in Tehran stock exchange and risk and yield of portfolio was estimated in phase and classic environment. In another step, significant difference between risk and yield was predicated and the results showed that risk and yield have significant difference in phase environment based on kurtosis model.    

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