List of Articles وابستگی ساختاری

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  1 - The impact of structural dependence on the efficient frontier of portfolio changes and comparison with traditional methods in Tehran Stock Exchange (Copula functions)
  Mehdi Salehi Samaneh Zamani Moghaddam
  Markowitz optimization problem and to determine the efficient frontier of investment, when the number of assets and restrictions on investment in the market is low, the mathematical model is solved. But this mathematical approach can reply different provider that someti More

  Markowitz optimization problem and to determine the efficient frontier of investment, when the number of assets and restrictions on investment in the market is low, the mathematical model is solved. But this mathematical approach can reply different provider that sometimes it is more accurate and more complete. In this paper, we examine the dependence structure between time series Tehran Stock Exchange market indices and exchange rate of the dollar and its impact on the efficient frontier portfolios have covered.The results show that the upper tail dependence indices is less than the lower tail dependence, this means that the decline in the dollar exchange rate indices are reduced, but with the rise in the dollar exchange rate accepted in Tehran stock Exchange index increase is lower. We also propose a new optimization program where the risk is worth the risk and return of joint function is estimated. The results show that the upper tail dependence indices is less than the lower tail dependence, Manuscript profile
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  2 - Effect of long memory dependence structure between the dollar exchange rate and oil products in the Tehran stock Exchange Index: A copula based approach
  Mahdi Salehi Samaneh Zamani Moghadam Sadegh Nekooei
  During the last decade crucial part of the analyzing the time series has devoted to the long memory. Existence of long memory in output of possession has significant application for investing in efficiency of market, Pricing the differential paper, and selecting the pos More

  During the last decade crucial part of the analyzing the time series has devoted to the long memory. Existence of long memory in output of possession has significant application for investing in efficiency of market, Pricing the differential paper, and selecting the possessions basket. In our research the effect of long memory dependence structure between the dollar exchange rate and oil products in the Tehran stock exchange index. First the existence of long memory ARFIMA test review and continue to understand the impact of long memory on the dependence structure of two types, raw data and filtered data (Dollar exchange rate variability data and index Petroleum for the period from 2009-2013) have been used. The result showed that the raw data has a long memory, than the tail dependent data are filtered. Manuscript profile