Browsing by Author "Tabasi, Hamed"

Now showing items 1-2 of 2

    • Estimating Conditional Value at Risk in the Tehran Stock Exchange based on the Extreme Value Theory using GARCH models 

      Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta; Ghasemi, Foroogh (Administrative sciences: Special Issue: Rational decision making in risk management, 2019)
      This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been ...

    • Project portfolio construction using extreme value theory 

      Tamošaitienė, Jolanta; Yousefi, Vahidreza; Tabasi, Hamed (Sustainability: Special issue: Sustainable decision making in civil and construction engineering, 2021)
      Choosing proper projects has a great impact on organizational success. Firms have various factors for choosing projects based on their different objectives and strategies. The problem of optimization of projects’ risks and ...