Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimization and performance evaluation modeling in mGH framework are developed, using worst case CVaR (WCVaR) as a risk measure. Due to the fact that expected returns can take negative values, the introduced model is inspired by Range Directional Measure model. Finally, real data in Iran stock market are given to illustrate the effectiveness of the model. تفاصيل المقالة

One of the components of large companies that, with the support of their competent and efficient managers, are analyzing the capital market, raw materials and products every day, is an accurate calculation tool to advance future goals.After the end of financial periods and through news and media, announcements of profit and loss, balance sheet and earnings per share and finally changes in stock prices of companies in the capital market are provided to us. Obviously, companies that have achieved better profitability rates and have increased the value of investor stocks have a better position in this market, and other companies have the ability to gain points that have led to positive changes in the market. They maintain their competition to achieve much higher.In this paper, the financial information of 10 petrochemical companies that are members of the stock exchange for 11 consecutive years is classified by performance appraisal techniques and finally, according to the market analysis and methods used, the results related to the returns of these companies are classified. Has been. تفاصيل المقالة