Iranian Journal of Finance最新文献_第3页

Forming Efficient Frontier in Stock Portfolios by Utility Function, Risk Aversion, and Target Return 效用函数、风险规避和目标收益在股票投资组合中形成有效前沿

Iranian Journal of Finance Pub Date : 2022-04-01 DOI: 10.30699/ijf.2021.256924.1172

Ahmad Farahani Darestani, Mohammadreza Miri Lavasani, H. Kordlouie, Ghodratallah Talebnia

{"title":"Forming Efficient Frontier in Stock Portfolios by Utility Function, Risk Aversion, and Target Return","authors":"Ahmad Farahani Darestani, Mohammadreza Miri Lavasani, H. Kordlouie, Ghodratallah Talebnia","doi":"10.30699/ijf.2021.256924.1172","DOIUrl":"https://doi.org/10.30699/ijf.2021.256924.1172","url":null,"abstract":"Asset allocation has always been a challenging issue / for individuals and businesses to survive in our competitive world. One of the famous businesses, which has an enormous impact on people's lives worldwide, is the pension industry. Pension fundsas Defined Benefit, Defined Contribution, or othersaccept reserves from contributors and try to invest them in a way to keep up with their obligations in the future or even pay more than that. The equity 96 Iranian Journal of Finance, 2022, Vol. 6, No. 2 (Farahani Darestani,A.) market has been one of the good choices for investment as pension funds try to reach a particular rate of return to maximize their wealth while considering not crossing red lines in taking risks. This paper will detail the new mathematical model for finding optimal stock portfolios using Generalized Co-Lower Partial Moment as a risk measure to minimize portfolio optimization. On the other hand, it introduces new tailored Expected Utility as a performance metric to maximize in this model. The proposed model's issue against previous studies is considering risk aversion and target rate of investment return as two significant investor characteristics. This is based on price returns' simulation of candidate stocks in TSE while using accurate and nonparametric Probability Density Function in historical data analysis.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"194 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132486398","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Portfolio Optimization based on the Risk Minimization by the Weight-Modified CVaR vs. CVaR Method 基于权重修正CVaR与CVaR方法的风险最小化投资组合优化

Iranian Journal of Finance Pub Date : 2022-04-01 DOI: 10.30699/ijf.2021.311328.1281

M. E. Fadaeinejad, Mohamad Taghi Vaziri, Hossein Asadi, Mohammad Javad Faryadras

{"title":"Portfolio Optimization based on the Risk Minimization by the Weight-Modified CVaR vs. CVaR Method","authors":"M. E. Fadaeinejad, Mohamad Taghi Vaziri, Hossein Asadi, Mohammad Javad Faryadras","doi":"10.30699/ijf.2021.311328.1281","DOIUrl":"https://doi.org/10.30699/ijf.2021.311328.1281","url":null,"abstract":"Given the lack of a specific approach to the explanation of values of optimal portfolio weights in the portfolio optimization, the present study aimed to examine large-scale portfolio optimization according to both stock weighting and utilization of SCAD function to minimize the portfolio risk based on the \"weight-modified conditional value at risk (CVaR)\" and its comparison with 71 Portfolio Optimization based on the Risk Minimization by... the \"conditional value at risk (CVaR)\" method in the Tehran Stock Exchange. Therefore, the price information of companies listed in the Tehran Stock Exchange and Over-the-counter (OTC) from 2012 to the end of September 2020 was collected, screened, and analyzed daily, and then the risk and return of the portfolios were examined by forming optimal portfolios. The results indicated that the efficiency limit of the stock portfolio and also the ranks of different companies were different according to the types of the optimization method. Based on the behavior of the TEDPIX, the investors' degrees of risktaking, and the risk management, diversification, and computational complexity of each method, the weight-modified CVaR had a better performance due to better diversification and risk management. Furthermore, the SCAD function added computational complexity to this method.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130591007","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Impact of Anchoring Bias and Disposition Effect on Momentum Profit: The Role of Stock Liquidity 锚定偏差和配置效应对动量利润的影响:股票流动性的作用

Iranian Journal of Finance Pub Date : 2022-01-01 DOI: 10.30699/ijf.2021.293531.1249

F. Soltani, A. Soroushyar, Masoud Fooladi

{"title":"The Impact of Anchoring Bias and Disposition Effect on Momentum Profit: The Role of Stock Liquidity","authors":"F. Soltani, A. Soroushyar, Masoud Fooladi","doi":"10.30699/ijf.2021.293531.1249","DOIUrl":"https://doi.org/10.30699/ijf.2021.293531.1249","url":null,"abstract":"Researchers examined anomalies in the market to understand the market dimensions. Prior studies considered the effects of biases on momentum strategy. Stock liquidity as one of the risk factors for assets was also considered by researchers. The purpose of this study is to examine the role of stock liquidity in the separately and jointly effect of anchoring bias and the disposition effect on momentum profit. The population of this study consists of all companies listed on the Tehran Stock Exchange. Based on systematic election sampling this study covers 136 companies over the period of 20072020. In this study, the effect of disposition effect is calculated using the approach of Greenblatt and Han (2005) and Frazzini (2006) and the anchorage bias is calculated according to George and Hwang (2004). This study calculates 84 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Soltani, F.) momentum profits according to Jegadeesh and Titman (1993). To test the hypotheses, multivariate regressions and the five-factor model of Fama and French (2015) have been used. The results of this study show that the disposition effect in stocks with low liquidity increases momentum profit. In addition, anchoring bias in stocks with low liquidity leads to an increase the momentum profit. Findings of this study document that the interaction effect of anchoring bias and disposition effect, while reinforcing each other, is also associated with increasing in momentum profit. Finally, when anchoring bias and disposition effect reinforce each other, and stocks have low liquidity, they do not increase momentum profits.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131345470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Hybrid Artificial Intelligence Approach to Portfolio Management 组合管理的混合人工智能方法

Iranian Journal of Finance Pub Date : 2022-01-01 DOI: 10.30699/ijf.2021.287131.1237

H. Haddadian, Morteza Baky Haskuee, G. Zomorodian

{"title":"A Hybrid Artificial Intelligence Approach to Portfolio Management","authors":"H. Haddadian, Morteza Baky Haskuee, G. Zomorodian","doi":"10.30699/ijf.2021.287131.1237","DOIUrl":"https://doi.org/10.30699/ijf.2021.287131.1237","url":null,"abstract":"The tremendous advances in artificial intelligence over the past decade have led to their increasing use in financial markets. In recent years a large number of investment companies and hedge funds have been implementing algorithmic and automated trading on their trading. The speed of decision-making and execution is the most important factor in the success of institutional and individual investors in capital markets. Algorithmic trading using machine learning methods has been able to improve the performance of investors by finding investment opportunities as well as time entry and exit of trading. The purpose of this study is to achieve a better portfolio performance by designing an intelligent and fully automated trading system that investors with the 2 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Haddadian, H.) support of this system, in addition to finding the best opportunities in the market, can allocate resources optimally. The present study consists of four separate steps. Respectively, tuning the parameters of technical indicators, detecting the current market regime (trending or non-trending), issuing a definite signal (buy, sell or hold) from the indicators’ signals and finally portfolio rebalancing. These 4 steps respectively are performed using genetic algorithm, fuzzy logic, artificial neural network and conventional portfolio optimization model. The results show the complete superiority of the proposed model in achieving higher returns and less risk compared to the performance of the TEDPIX and other mutual funds in the same period.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126531394","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Identification of the Factors Affecting Auditors’ Conflict of Interests Using Fuzzy Delphi Method 运用模糊德尔菲法识别审计人员利益冲突的影响因素

Iranian Journal of Finance Pub Date : 2022-01-01 DOI: 10.30699/ijf.2021.250031.1159

Javad Ghaznavi Doozandeh, M. Garkaz, Ali Khozein, Alireza Maetoofi

{"title":"Identification of the Factors Affecting Auditors’ Conflict of Interests Using Fuzzy Delphi Method","authors":"Javad Ghaznavi Doozandeh, M. Garkaz, Ali Khozein, Alireza Maetoofi","doi":"10.30699/ijf.2021.250031.1159","DOIUrl":"https://doi.org/10.30699/ijf.2021.250031.1159","url":null,"abstract":"The present study aimed to identify the most effective causes of conflict of interest by examination of accounting literature and expert consensus. Understanding these factors, using cognitive psychology theories, can lead to a model for reducing conflict of interests. The dignity of the audit profession depends on fair and proper professional judgment by auditors, and achieving this requires identification and controlling of the key factors affecting judgment and decision-making. When auditors intentionally or unintentionally accredit 143 Identification of the Factors Affecting Auditors’ Conflict of ... financial statements in line with the opinion of their employers, public interests and the auditing profession are at serious risk. Several factors that can categorize into seven categories of structure, community, culture, environment, personality, audit firm characteristic, and ethics and behavior are rooted in a conflict of interests. However, no comprehensive research examining all the above factors and identifying the most effective ones has been done so far. By reviewing the research literature, major and minor factors were identified in domestic and foreign sources. Ten expert auditors were selected by the snowball method and interviewed. The considered major and minor factors were selected from among the introduced factors, and a questionnaire was sent to the experts using the Fuzzy Delphi (Screening) method. The results of the above statistical analysis identified eighteen of the most prominent sub-criteria of the factors affecting conflict of interests and identified structural factors the highest rank in this classification, which was agreed by the experts.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130450323","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

CEO Power, Corporate Risk-Taking, and the Role of Institutional Owners: Pieces of Evidence of Tehran Stock Exchange Market and Iran Fara Bourse CEO权力、公司风险承担和机构所有者的作用:德黑兰证券交易所市场和伊朗法拉证券交易所的证据

Iranian Journal of Finance Pub Date : 2022-01-01 DOI: 10.30699/ijf.2021.232129.1131

Jamshid Bigdelo, Neda Bashiri, R. Tehrani, Fatemeh Kheilkordi

{"title":"CEO Power, Corporate Risk-Taking, and the Role of Institutional Owners: Pieces of Evidence of Tehran Stock Exchange Market and Iran Fara Bourse","authors":"Jamshid Bigdelo, Neda Bashiri, R. Tehrani, Fatemeh Kheilkordi","doi":"10.30699/ijf.2021.232129.1131","DOIUrl":"https://doi.org/10.30699/ijf.2021.232129.1131","url":null,"abstract":"Corporate governance\" includes mechanisms to monitor CEO's performance to assure efficient decision adoption and maximize firm value. One of the most effective aspects of firm performance is the degree of risk-taking. This study investigates the relationship between CEO power and institutional ownership with risk-taking behavior of member firms of Tehran Stock Exchange and Iran Fara Bourse during 2010-2019 by utilizing quintile regression. According to 118 Iranian Journal of Finance, 2021, Vol. 6, No. 1 (Bigdlo, J.) the results, by the increase of CEO's power and the company's benefit from powerful managers, the company risk (total risk and systemic risk) will decrease. As a result, managers are eager to safeguard their reputation as expert decision-makers and, as a result, they try to reduce company risk. In addition, the existence of institutional ownership among the shareholders of the company will reduce the risk, which can be referred to in the agency theory. Also, if the impact of these two variables is considered together, the risk will increase significantly. This very fact reflects the exercise of the power and influence of institutional owners. As a result, large shareholders have a supervisory role in the discipline of managers, but despite their impact on the relationship between managers' power and corporate risk, they do not alter the main negative relationship. JEL Classification: G10, G30, G32, G34","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131945652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Investigation of the Effect of Behavioral and Macroeconomic Factors on the Volatility of Tehran Stocks Market: FIAPGARCH-X 行为和宏观经济因素对德黑兰股市波动的影响研究:FIAPGARCH-X

Iranian Journal of Finance Pub Date : 2022-01-01 DOI: 10.30699/ijf.2022.255430.1167

M. Goudarzi, A. Mohammadzadeh, M. Seighali

{"title":"Investigation of the Effect of Behavioral and Macroeconomic Factors on the Volatility of Tehran Stocks Market: FIAPGARCH-X","authors":"M. Goudarzi, A. Mohammadzadeh, M. Seighali","doi":"10.30699/ijf.2022.255430.1167","DOIUrl":"https://doi.org/10.30699/ijf.2022.255430.1167","url":null,"abstract":"One of the characteristics of the financial market, especially the stock market, is the effects of behavioral factors and on other financial and non-financial markets. There are several factors that affect the return of a stock exchange. We can refer to political, socio-cultural, technological and finally economic factors. A stock market is an economic market in which securities are traded under specific rules and regulations. Accordingly, in this study, the effect of behavioral financial arguments and other financial markets on stock market returns based on quantitative analysis has been studied. This article tries to examine how exchange rates, gold, and oil as key factors of a model can 29 Investigation of the Effect of Behavioral and Macroeconomic... explain fluctuations of the stock market index. so the effect of those variables on the stock market index in the period 2008 to the first six months of 2018 has been analyzed using the FIAPGARCH-X model. The results of the analysis show that the effect of exchange rates on the stock market fluctuations is greater than the other two factors. The results also indicate that there are asymmetric effects of increased returns on the stock market, which is consistent with behavioral bias in behavioral finance.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"26 35","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132547093","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Role of Management Accounting in Improving Management Control System in Public Sector 管理会计在完善公共部门管理控制体系中的作用

Iranian Journal of Finance Pub Date : 2022-01-01 DOI: 10.30699/ijf.2021.279013.1211

H. Salmanzadeh, G. Kordestani, Hossein Kazemi

{"title":"The Role of Management Accounting in Improving Management Control System in Public Sector","authors":"H. Salmanzadeh, G. Kordestani, Hossein Kazemi","doi":"10.30699/ijf.2021.279013.1211","DOIUrl":"https://doi.org/10.30699/ijf.2021.279013.1211","url":null,"abstract":"The management control system provides valuable information on the managers' needs at different levels of the organization. Today, with changes in the political, social and economic dimensions, the management control system in the public sector also needs to be changed and adapted to new conditions and use new tools to meet stakeholders’ needs. The purpose of this study is to provide a model to investigate the role of the management control system and increase accountability in the public sector administrations and companies. In this regard, the present study explores the role of functions of management accounting in improving the management control system in the public sector. For this purpose, data were collected through interviewing 13 experts in the field of the management control system and functions of management accounting and reviewing related texts, articles and books in this field, and their content was analyzed through grounded theory and content analysis method and MAXQDA 2021 software was used for data analysis in 1399. The findings of this study showed that a management control system, if it has the necessary tools, can play a key role in preventing corruption, increasing 55 The Role of Management Accounting in Improving... transparency and accountability, performance-based budgeting, and performance-based auditing. The existence of a management control system is necessary for any organization; such a system will help identify resource flow, help management in decision making, motivate employees, make decisions related to outsourcing and contracting, reduce service delivery time, and many other issues in organizations, and it will ultimately lead to optimally allocate resources, prevent corruption, and increase legitimacy, transparency and accountability, Therefore, the optimal use of management accounting in the management control system, improves the achievement of organizational goals and the effectiveness of programs.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125062099","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity 基于相对稳健风险平价组合方法的股票投资组合优化

Iranian Journal of Finance Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.269599.1193

Sayed Mohammad Ebrahim Mirmohammadi, Mehdi Madanchi zaj, H. Panahian, H. Jabbary

{"title":"Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity","authors":"Sayed Mohammad Ebrahim Mirmohammadi, Mehdi Madanchi zaj, H. Panahian, H. Jabbary","doi":"10.30699/ijf.2021.269599.1193","DOIUrl":"https://doi.org/10.30699/ijf.2021.269599.1193","url":null,"abstract":"Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent assets. In the present study, the combined portfolio selection model of relative robust risk parity is introduced, which uses the worst-case scenario approach on the covariance matrix parameter appearing in the robust risk model in portfolio robustness. According to historical data, several scenarios are considered for the covariance matrix. The objective function value of the hybrid model for each portfolio (feasible point) is the worst result (with most volatility) among the set of scenarios. Finally, the model selects a portfolio for which the worst possible result has the least relative volatility. The research portfolio consists of 8 industries from Tehran Stock Exchange in the period 88 Iranian Journal of Finance, 2021, Vol. 5, No. 4 (Mirmohammadi, S.) 2011 to 2020. This portfolio has a higher Sharpe ratio than conventional models of mean-variance and weight parity, and is more resilient to market declines than the two models and produces less loss. Therefore, risk-averse investors are advised to use this stock portfolio selection model as a cover to face severe market declines.","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132403470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction 货币危机期间汇率与上市公司股票指数的动态相关性:对最优投资组合构建的启示

Iranian Journal of Finance Pub Date : 2021-11-01 DOI: 10.30699/ijf.2021.278675.1210

Maryam Bazraei, S. Ghavidel, G. Emamverdi, M. Mahmoudzadeh

{"title":"Dynamic correlation between exchange rate and the listed industries stock index during the currency crises: The Implications for Optimal Portfolio Construction","authors":"Maryam Bazraei, S. Ghavidel, G. Emamverdi, M. Mahmoudzadeh","doi":"10.30699/ijf.2021.278675.1210","DOIUrl":"https://doi.org/10.30699/ijf.2021.278675.1210","url":null,"abstract":"In this study, we examine the correlation between stock returns of Exportoriented (EOIs) and Import-oriented (IOIs) industries and exchange rates, to derive stock-exchange optimal weights, attempting to manage the risk of investors in the capital market. To do so, the ADCC and DCC models are used. The data consists of the stock return of the listed industries, and the daily exchange rate from 2008 to 2020. The results suggest that EOIs have a dynamic asymmetric conditional correlation, and IOIs have a dynamic 26 Iranian Journal of Finance, 2021, Vol. 5, No. 4 (Bazraei, M.) symmetric conditional correlation with the exchange rate. Moreover, the results indicate that in both currency crises, the weight of optimal portfolio in all industries except pharmaceuticals, in non-crisis period is over 50% and in the crisis period is less than 50%. Accordingly, and to reduce the risk of the portfolio, in the non-crisis period, investors should invest more than half of a one-Rial portfolio to dollar exchange, and in the crisis period, they should allocate less than half of a one-Rial portfolio to this currency. In case of the currency crisis, it is suggested that investors invest in the stock of basic metals, because this industry is a pioneer in attracting currency crisis and increasing stock value of the industry through future cash flow and replacement value, and reduce the stock of pharmaceuticals and computers in their portfolio, due to attracting negative effects of the exchange market. JEL: G10, F31, G11, C58","PeriodicalId":273008,"journal":{"name":"Iranian Journal of Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129192334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0