Evaluating the performance of Forecasting Models for PortfolioAllocation Purposes

Portfolio theory assumes that investors accept risk. This means that in the equal rate of return on the two assets, the assets are choosen that have a lower risk level. Modern portfolio theory is accepted by investors who believe that they are not cope with the market. So they keep many different types of securities in order to access the optimum efficiency rate that is close to the rate of return on market. One way to control investment risk is establishing the portfolio shares. There are many ways to choose the optimal portfolio shares. Among these methods in this study we use loss functions. For this, we choose all firms from the year 9831 to the end of 9818 that had been a member in the Tehran Stock Exchange. The resualts of this research show that the likelihood function have the best performance in Forecasting the optimal portfolio allocation problem

کلیدواژه ها:

Loss functions ، portfolio allocation ، Evaluating forecasts