ESTIMATE OF INVESTMENT RISK IN AN ASSET PORTFOLIO IN IRAN

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TAHMASEBI FARAMARZ

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Journal: Journal of Economic Research Year:2016 | Volume:50 | Issue:4 Page(s): 903-923

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Information Journal Paper

Title

ESTIMATE OF INVESTMENT RISK IN AN ASSET PORTFOLIO IN IRAN

Author(s)

TAHMASEBI FARAMARZ | Issue Writer Certificate

Keywords

RISKQ2

RETURNQ2

OPTIMAL PORTFOLIOQ1

VALUE AT RISK (VAR)Q2

Abstract

criteria in household portfolio. To do this, the data which are related to the asset price are used including: bank deposit, bonds, stock, exchange, coin, land and housing in time period of 1997 to 2011. In this research, portfolio VaR id calculated in the confidence level of 90%, 95%, and 99% and in time periods of one year and 14 years. After calculating RETURNs, RETURN standard deviation, correlation coefficient among assets, VaR of every asset is extracted by using Variance- mean model, MATLAB software, and optimal mix of assets in household portfolio. Assets portfolio RISK is calculated by VaR method. The result indicated that in the time period of 14 years, there is the most portfolio RISK of 43.77% with the probability of 99% for high RISK people and the lowest portfolio RISK of Zero% with the probability of 90% for low RISK people. In one year period, there is also the most portfolio RISK of 16.92 with the probability of 99% for high RISK people and the lowest portfolio RISK of 0.13% with the probability of 90% for low RISK people.

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APA: Copy

TAHMASEBI, FARAMARZ. (2016). ESTIMATE OF INVESTMENT RISK IN AN ASSET PORTFOLIO IN IRAN. TAHGHIGHAT-E-EGHTESADI, 50(4 ), 903-923. SID. https://sid.ir/paper/11636/en

Vancouver: Copy

TAHMASEBI FARAMARZ. ESTIMATE OF INVESTMENT RISK IN AN ASSET PORTFOLIO IN IRAN. TAHGHIGHAT-E-EGHTESADI[Internet]. 2016;50(4 ):903-923. Available from: https://sid.ir/paper/11636/en

IEEE: Copy

FARAMARZ TAHMASEBI, “ESTIMATE OF INVESTMENT RISK IN AN ASSET PORTFOLIO IN IRAN,” TAHGHIGHAT-E-EGHTESADI, vol. 50, no. 4 , pp. 903–923, 2016, [Online]. Available: https://sid.ir/paper/11636/en

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