How to cite this paper
Ghodrati, H & Zahiri, Z. (2014). A Monte Carlo simulation technique to determine the optimal portfolio.Management Science Letters , 4(3), 465-474.
Refrences
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Ahmadi, S. M. M., & Shahryar, B. (2007). Determination the optimal rate of investment in the stock exchange in VaR perspective. Studies in Accounting and Auditing, 49, 3-24 [In Persian].
Brajesteh Maleki, M. (2009). Application of VaR in forming the optimal stock basket in Tehran Stock Exchange. Economic Research Journal, 87, 91-114 [In Persian].
Berry, R. (2009). An Overview of Value-at-Risk: Monte Carlo Simulations VaR. J.P.Morgan Investment Analytics and Consulting.
Choudhry, M. (2013). An Introduction to Value-at-risk. John Wiley & Sons.
Eqbalnya, (2005). Model Designing for Investment risk Management in Tehran Exchange Stock Using VaR Concept. Shahid Beheshti University, Unpublished thesis [In Persian].
Fan, Y., Wei, Y. M., & Xu, W. X. (2004). Application of VaR methodology to risk management in the stock market in China. Computers & Industrial Engineering, 46(2), 383-388.
Fusai, G., & Luciano, E. (2001). Dynamic value at risk under optimal and suboptimal portfolio policies. European Journal of Operational Research, 135(2), 249-269.
Gallati, R. R. (2003). Risk management and capital adequacy (p. 362). McGraw-Hill.
Glasserman, P., Heidelberger, P., & Shahabuddin, P. (2000). Efficient Monte Carlo methods for value-at-risk.
Jorion, P. (2007). Value at risk: the new benchmark for managing financial risk(Vol. 3). New York: McGraw-Hill.
Khiabani, N., & Sarouqi, M. (2011). Evaluating of VaR estimation based on ARCH group models (Topical study for Tehran Stock Exchange). Iran Economic Studies Periodical, 47, 53-57.
Landeaux, A. (2002). Monte Carlo Simulation Process in Reliability and Maintenance. ISC Gerencia de Activos, Venezuela.
Moarrefian, M. (2010). Evaluation of semi-Monte Carlo simulation efficiency in estimation of VaR for Tehran Exchange Stock. University of Tehran, Unpublished Thesis.
Moradi, A. M., & Akhtarkavan, M. (2009). Methodology of multi-criteria decision analysis models. Knowledge and Advance Journal, 2, 113-125.
Nasrollahi, Z., Shahviri, M., & Amiri, M. (2010). Comparison of unsimilar conditional generalized self-regression model with Monte Carlo simulation for estimating VaR of foreign currency portfolio. Economic Research Periodical, 3, 117-141 [In Persian].
Raiee, R., & Saeedi, A. (2004). Financial Engineering and Risk Management Principles. Tehran University Publication, SAMT [In Persian].
RajabipoorMeybodi, A. (2010). Investment Risk Management in Tehran Stock Exchange (TSE) Using Technique of Monte Carlo Simulation (MCS). Journal of Financial Crime, 17(2), 265-278.
Rasouli (2004). Forecasting and risk management in Tehran Stock Exchange. Tos & apos; ee Farda Institution [In Persian].
Salehi Sadaghani, J. (2010). Determination investment risk in foreign currency portfolio, using VaR. Scientific-Research Periodical of Industrial Management Studies, 7, 183-200.
Talebnya, Q., & Fathi, M. (2010). Comparative estimation of the optimal portfolioselection of shares in Tehran Stock Exchange through Marcoitz models and VaR. Financial Studies Journal, 6.
Ahmadi, S. M. M., & Shahryar, B. (2007). Determination the optimal rate of investment in the stock exchange in VaR perspective. Studies in Accounting and Auditing, 49, 3-24 [In Persian].
Brajesteh Maleki, M. (2009). Application of VaR in forming the optimal stock basket in Tehran Stock Exchange. Economic Research Journal, 87, 91-114 [In Persian].
Berry, R. (2009). An Overview of Value-at-Risk: Monte Carlo Simulations VaR. J.P.Morgan Investment Analytics and Consulting.
Choudhry, M. (2013). An Introduction to Value-at-risk. John Wiley & Sons.
Eqbalnya, (2005). Model Designing for Investment risk Management in Tehran Exchange Stock Using VaR Concept. Shahid Beheshti University, Unpublished thesis [In Persian].
Fan, Y., Wei, Y. M., & Xu, W. X. (2004). Application of VaR methodology to risk management in the stock market in China. Computers & Industrial Engineering, 46(2), 383-388.
Fusai, G., & Luciano, E. (2001). Dynamic value at risk under optimal and suboptimal portfolio policies. European Journal of Operational Research, 135(2), 249-269.
Gallati, R. R. (2003). Risk management and capital adequacy (p. 362). McGraw-Hill.
Glasserman, P., Heidelberger, P., & Shahabuddin, P. (2000). Efficient Monte Carlo methods for value-at-risk.
Jorion, P. (2007). Value at risk: the new benchmark for managing financial risk(Vol. 3). New York: McGraw-Hill.
Khiabani, N., & Sarouqi, M. (2011). Evaluating of VaR estimation based on ARCH group models (Topical study for Tehran Stock Exchange). Iran Economic Studies Periodical, 47, 53-57.
Landeaux, A. (2002). Monte Carlo Simulation Process in Reliability and Maintenance. ISC Gerencia de Activos, Venezuela.
Moarrefian, M. (2010). Evaluation of semi-Monte Carlo simulation efficiency in estimation of VaR for Tehran Exchange Stock. University of Tehran, Unpublished Thesis.
Moradi, A. M., & Akhtarkavan, M. (2009). Methodology of multi-criteria decision analysis models. Knowledge and Advance Journal, 2, 113-125.
Nasrollahi, Z., Shahviri, M., & Amiri, M. (2010). Comparison of unsimilar conditional generalized self-regression model with Monte Carlo simulation for estimating VaR of foreign currency portfolio. Economic Research Periodical, 3, 117-141 [In Persian].
Raiee, R., & Saeedi, A. (2004). Financial Engineering and Risk Management Principles. Tehran University Publication, SAMT [In Persian].
RajabipoorMeybodi, A. (2010). Investment Risk Management in Tehran Stock Exchange (TSE) Using Technique of Monte Carlo Simulation (MCS). Journal of Financial Crime, 17(2), 265-278.
Rasouli (2004). Forecasting and risk management in Tehran Stock Exchange. Tos & apos; ee Farda Institution [In Persian].
Salehi Sadaghani, J. (2010). Determination investment risk in foreign currency portfolio, using VaR. Scientific-Research Periodical of Industrial Management Studies, 7, 183-200.
Talebnya, Q., & Fathi, M. (2010). Comparative estimation of the optimal portfolioselection of shares in Tehran Stock Exchange through Marcoitz models and VaR. Financial Studies Journal, 6.