{"id":"https://openalex.org/W2188569682","doi":null,"title":"Determining the Optimal Portfolio in Iran Stock Exchange by Value at Risk Approach","display_name":"Determining the Optimal Portfolio in Iran Stock Exchange by Value at Risk Approach","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W2188569682","mag":"2188569682"},"language":"en","primary_location":{"id":"mag:2188569682","doi":null,"is_oa":false,"landing_page_url":"http://textroad.com/pdf/JBASR/J.%20Basic.%20Appl.%20Sci.%20Res.,%203(3)813-820,%202013.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},"volume":null,"type":"article","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Mohammad Shafi Mir","orcid":"https://orcid.org/0000-0001-7455-4805","observed_orcids":["https://orcid.org/0000-0001-7455-4805"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mohammad Shafi Mir","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0001-7455-4805","affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5083249118","display_name":"Mohammad Mir mohammadi Sadrabadi","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mohammadi Sadrabadi","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045350862","display_name":"Mahmoud Moeinaddin","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mahmoud Moeinaddin","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5024910459","display_name":"Shahnaz Nayebzadeh","orcid":"https://orcid.org/0000-0003-1063-0631","observed_orcids":["https://orcid.org/0000-0003-1063-0631"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Shahnaz Nayebzadeh","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0003-1063-0631","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.002099999925121665,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8730000257492065},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.9700000286102295},{"id":"https://openalex.org/keywords/investment-risk-management","display_name":"investment risk management","score":0.781000018119812},{"id":"https://openalex.org/keywords/linear-programming","display_name":"linear programming","score":0.7919999957084656},{"id":"https://openalex.org/keywords/stock-portfolio-selection","display_name":"stock portfolio selection","score":0.7799999713897705},{"id":"https://openalex.org/keywords/filtering-techniques","display_name":"filtering techniques","score":0.42100000381469727}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.7231705188751221},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7050420045852661},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5529202222824097},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5454935431480408},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.5389633178710938},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.5264530777931213},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.5251752138137817},{"id":"https://openalex.org/C67051015","wikidata":"https://www.wikidata.org/wiki/Q7233558","display_name":"Post-modern portfolio theory","level":5,"score":0.5064772367477417},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.49985718727111816},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.4713834226131439},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4618026614189148},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4604303240776062},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.4376094341278076},{"id":"https://openalex.org/C75956513","wikidata":"https://www.wikidata.org/wiki/Q609343","display_name":"Portfolio investment","level":3,"score":0.4375383257865906},{"id":"https://openalex.org/C73938075","wikidata":"https://www.wikidata.org/wiki/Q2858767","display_name":"Application portfolio management","level":4,"score":0.4158560037612915},{"id":"https://openalex.org/C50787887","wikidata":"https://www.wikidata.org/wiki/Q5468447","display_name":"Foreign portfolio investment","level":5,"score":0.41511207818984985},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.39212971925735474},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.3676626682281494},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.36698466539382935},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.36672329902648926},{"id":"https://openalex.org/C74510933","wikidata":"https://www.wikidata.org/wiki/Q1936145","display_name":"Project portfolio management","level":3,"score":0.362213671207428},{"id":"https://openalex.org/C169549615","wikidata":"https://www.wikidata.org/wiki/Q939134","display_name":"Return on investment","level":3,"score":0.2703108787536621},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.19798147678375244},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.17130839824676514},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0838388204574585},{"id":"https://openalex.org/C15952604","wikidata":"https://www.wikidata.org/wiki/Q179012","display_name":"Project management","level":2,"score":0.08102661371231079},{"id":"https://openalex.org/C181308471","wikidata":"https://www.wikidata.org/wiki/Q25245118","display_name":"Open-ended investment company","level":4,"score":0.06726604700088501},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C2778348673","wikidata":"https://www.wikidata.org/wiki/Q739302","display_name":"Production (economics)","level":2,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"mag:2188569682","doi":null,"is_oa":false,"landing_page_url":"http://textroad.com/pdf/JBASR/J.%20Basic.%20Appl.%20Sci.%20Res.,%203(3)813-820,%202013.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W315644267","https://openalex.org/W1530438143","https://openalex.org/W1551275368","https://openalex.org/W1553545751","https://openalex.org/W1571839352","https://openalex.org/W1601658701","https://openalex.org/W1702687445","https://openalex.org/W1973241508","https://openalex.org/W1988008345","https://openalex.org/W2011434592","https://openalex.org/W2015083187","https://openalex.org/W2019291268","https://openalex.org/W2069110894","https://openalex.org/W2070401626","https://openalex.org/W2081292736","https://openalex.org/W2085317472","https://openalex.org/W2240199872","https://openalex.org/W3122022804","https://openalex.org/W3123373994"],"related_works":["https://openalex.org/W7009023517","https://openalex.org/W2186773231","https://openalex.org/W2300856180","https://openalex.org/W2758936087","https://openalex.org/W7032919841","https://openalex.org/W4379117362","https://openalex.org/W7070093748","https://openalex.org/W2279027027","https://openalex.org/W2274411188","https://openalex.org/W2969758240"],"abstract_inverted_index":{"Value":[0,39],"at":[1,40,87,155],"risk":[2,14,41,69,88,97,116],"is":[3,70,84],"a":[4,73,118,135,141],"well-known":[5],"concept":[6],"in":[7,20,28,72,101,134,154,163],"the":[8,30,36,44,51,61,68,96,99,108,114,128,160],"measurement,":[9],"prediction":[10],"and":[11,105],"management":[12],"of":[13,33,35,43,54,64,76,81,98,117,131,159],"which":[15,164],"has":[16,25,46],"received":[17],"increasing":[18],"attention":[19],"financial":[21],"schemes.":[22],"This":[23],"method":[24],"been":[26,47],"used":[27],"determining":[29],"optimum":[31],"level":[32,53,75,130],"stocks":[34],"investment":[37,115,153],"portfolio.":[38,110],"minimization":[42],"portfolio":[45,120,136],"utilized":[48],"to":[49,59,94,106],"determine":[50],"optimal":[52,62,109,129],"investment.":[55],"Portfolio":[56],"optimization":[57],"aims":[58],"ascertain":[60],"amount":[63],"assets":[65],"so":[66],"that":[67,148],"minimized":[71],"given":[74],"return.":[77],"The":[78,145],"main":[79],"objective":[80],"this":[82],"study":[83],"introducing":[85],"value":[86],"(VAR)":[89],"as":[90],"an":[91,152],"appropriate":[92],"pattern":[93],"manage":[95],"investments":[100],"Iran":[102],"Stock":[103],"Exchange":[104],"select":[107],"Using":[111],"parametric":[112],"variance-covariance,":[113],"stock":[119,133],"was":[121,137],"calculated":[122,138],"(selected":[123],"through":[124],"filtering":[125],"technique).":[126],"Finally,":[127],"each":[132],"by":[139],"using":[140],"linear":[142],"programming":[143],"model.":[144],"findings":[146],"reveal":[147],"there":[149],"should":[150],"be":[151],"least":[156],"nine":[157],"companies":[158],"selected":[161],"firms":[162],"their":[165]},"counts_by_year":[],"updated_date":"2026-09-29T14:09:16.559479","created_date":"2016-06-24T00:00:00"}
