عنوان انگلیسی مقاله:

The returns and risks of investment portfolio in a financial market

ترجمه عنوان مقاله: بازده و خطرات ناشی از سبد سرمایه گذاری در بازارهای مالی

رشته: مدیریت مالی و حسابداری

سال انتشار: 2014

تعداد صفحات مقاله انگلیسی: 6 صفحه

منبع: الزویر و ساینس دایرکت

نوع فایل: pdf

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چکیده مقاله

Abstract The returns and risks of investment portfolio in a financial market

The returns and risks of investment portfolio in a financial system was investigated by constructing a theoretical model based on the Heston model. After the theoretical model andanalysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the probability distribution, the variance and loss rate of equity portfolio return) between simulation results of the theoretical model and the real financial data obtained from Dow Jones Industrial Average are in good agreement;

(ii) The maximum dispersion of the investment portfolio is associated with the maximum stability of the equity portfolio return and minimal investment risks; (iii) An increase of the investment period and a worst investment period are associated with a decrease of stability of the equity portfolio return and a maximum investment risk, respectively.

Keywords: Financial markets, Heston model, Equity portfolio

The researches offinancial markets as complex system sinstatistical physics have obtained more and more attentions and given rise to a new field called ‘‘econophysics’’ inrecent years [1,2]. The geometric Brownian motion model wasearly proposed to describe the stockhastic dynamics of stock prices [3,4]. However, this geometric Brownian motion modelcan not agree with some statistical characteristics from actual financial data, suchas, the fattails [5,6], long range memory and clustering of volatility[7]. Afterwards, manyvaluable model shave been developed to makeup the sedeficiencies, such as the ARCHmodel [8], GARCHmodel [9], and Hestonmodel [10]

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