OPTIMUM PORTFOLIO SELECTION USING VALUE AT RISK IN TEHRAN STOCK EXCHANGE

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ABBASI EBRAHIM; TEYMOURPOUR BABAK; BARJESTEH MALEKI M.

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Journal: Journal of Economic Research Year:2009 | Volume:44 | Issue:87 Page(s): 91-114

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Information Journal Paper

Title

OPTIMUM PORTFOLIO SELECTION USING VALUE AT RISK IN TEHRAN STOCK EXCHANGE

Author(s)

ABBASI EBRAHIM | TEYMOURPOUR BABAK | BARJESTEH MALEKI M. | Issue Writer Certificate

Keywords

OPTIMUM PORTFOLIOQ3

EFFICIENT FRONTIERQ3

VARIANCEQ2

VALUE AT RISKQ2

Abstract

This research aims to use VaR as a risk measure to find the OPTIMUM PORTFOLIO in Tehran Stock exchange. In this research VaR which is calculated with parametric method by using the 15 daily returns of 100 companies from March 21, 2001 to November 22, 2007 was added to the Markowitz model of portfolio optimization as additional constraint. By changing the accepted VaR and accepted confidence level, various portfolios designed. Finally the findings indicate that adding VaR constraint to the Morkowitz model may limit the EFFICIENT FRONTIER, change it to a point or eliminate it completely. This research differs from comparable research in using the backtesting in a novel way and case study of Tehran Stock Exchange.

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References

OPTIMAL PORTFOLIO SELECTION IN IRAN STOCK EXCHANGE VIA VALUE AT RISK THEORY

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APA: Copy

ABBASI, EBRAHIM, TEYMOURPOUR, BABAK, & BARJESTEH MALEKI, M.. (2009). OPTIMUM PORTFOLIO SELECTION USING VALUE AT RISK IN TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI, 44(87), 91-114. SID. https://sid.ir/paper/12122/en

Vancouver: Copy

ABBASI EBRAHIM, TEYMOURPOUR BABAK, BARJESTEH MALEKI M.. OPTIMUM PORTFOLIO SELECTION USING VALUE AT RISK IN TEHRAN STOCK EXCHANGE. TAHGHIGHAT-E-EGHTESADI[Internet]. 2009;44(87):91-114. Available from: https://sid.ir/paper/12122/en

IEEE: Copy

EBRAHIM ABBASI, BABAK TEYMOURPOUR, and M. BARJESTEH MALEKI, “OPTIMUM PORTFOLIO SELECTION USING VALUE AT RISK IN TEHRAN STOCK EXCHANGE,” TAHGHIGHAT-E-EGHTESADI, vol. 44, no. 87, pp. 91–114, 2009, [Online]. Available: https://sid.ir/paper/12122/en

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