Volume 17, Issue 47 (5-2025)
3 2025, 17(47): 1-21 |
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Riahi Samani M. Explanation of a Mathematical Model of Risk and Return Based on a Volatility Trading Strategy. 3 2025; 17 (47) :1-21
URL: http://jnrihs.ir/article-1-652-en.html
URL: http://jnrihs.ir/article-1-652-en.html
Abstract: (63 Views)
Classical investment risks and returns are usually defined based on stock-holding policies. We mean that they are calculated only by considering the prices at the beginning and end of each period without considering the price fluctuations. Therefore, they may not carry useful information for speculators. This study presents new investment risk and return measures under speculation policy. We call these measures the extreme speculating profit (ESP) and the extreme speculating loss (ESL), representing the maximum possible return and loss based on historical price fluctuations. We also classify speculators into three categories, risk-taking, risk-avoiding, and rational speculators, and illustrate how ESP and ESL help them rank the stocks based on speculation policy. The cryptocurrency market is one of the most volatile and probably attractive to speculators. We investigate this market and compare it with the commodities market based on the measures proposed in this study. This study implies the concepts of risk and return should be defined based on the investment policy investors apply.
Type of Study: Research |
Subject:
General
Received: 2025/05/5 | Accepted: 2025/05/31 | Published: 2025/05/31
Received: 2025/05/5 | Accepted: 2025/05/31 | Published: 2025/05/31
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