Volume 1, Number 47 (7-2011)                   cs 2011, 1(47): 355-370 | Back to browse issues page


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Tarjoman R, Raei R. Stochastic Dominance And Its Comparison With Other Conventional Risk Measures In Tehran Stock Exchange. cs. 2011; 1 (47) :355-370
URL: http://cs.shahed.ac.ir/article-1-890-en.html

, Taroman@ut.ac.ir
Abstract:   (5697 Views)
Nowadays stock market as a means to facilitate and direct micro investment for economic development is deemed as one of the most effective tools in the market economy system. Analyzing the risk and output of various companies' shares is among the most important preconditions of stock investment. In general, although conventional risk measures such as Beta and standard deviation are relatively efficient but they have some limitations, for example variance is a symmetric measure and considers gains and losses the same. Also when the distributions are not normal, we can’t use variance as a risk measure. This research has attempted to offer a new method in assessing the amount of risk in time series such as share return rate by the use of current tools in stochastic dominance model like lower partial moment beside other traditional risk assessment criteria such as standard deviation and beta coefficient. It would be used as a guiding factor in stock investment decision. The risk, with regards to daily return of 40 accepted companies in Tehran Stock Exchange in 1386-1387 period, has been calculated by stochastic dominance. In order to analyze the degree of correlation in the ranking of the companies based on different risk indicators the Spearman correlation coefficient has been used. Calculation results indicate that the most significant conformity in risk criteria existed between standard deviation criteria and stochastic dominance while less accordance was observed between stochastic dominance and beta, and standard deviation and Beta.
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Type of Study: Research | Subject: Special

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