THE EFFECT OF PORTFOLIO DIVERSIFICATION ON VALUE AT RISK IN TEHRAN STOCK EXCHANGE (TSE)

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ROSTAMI ALI; NIKNIA NARGES

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Journal: INVESTMENT KNOWLEDGE Year:2013 | Volume:2 | Issue:6 Page(s): 83-104

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Information Journal Paper

Title

THE EFFECT OF PORTFOLIO DIVERSIFICATION ON VALUE AT RISK IN TEHRAN STOCK EXCHANGE (TSE)

Author(s)

ROSTAMI ALI | NIKNIA NARGES | Issue Writer Certificate

Keywords

DIVERSIFICATIONQ2

CORRELATIONQ2

INTERNATIONAL PORTFOLIOQ2

VALUE-AT-RISKQ2

Abstract

The concept of risk always attracted investors. DIVERSIFICATION is one of strategies that investors used it to against the risk. This research explores the risk associated with the stocks prices in the twenty-two companies that are listed in Tehran Stock Exchange (TSE) as well as portflio of investment that are constructed from these twenty-two companies employed. In addition to national studies, the importance of international DIVERSIFICATION by constructing a portfolio of investment from stock price indexes of emeging and developed countries would be examined. CORRELATION between stocks in national DIVERSIFICATION porfolios shows the relationship between various domestic equities in investment portfolios, as well as CORRELATION between indices, displays relationship between stock price indexes in international investment porfolio. Value at risk (VaR) is undertaken for studying the benefits associated with domestic as well as international DIVERSIFICATION. The results show that domestic DIVERSIFICATION reduces risk and more significant result is that international DIVERSIFICATION significantly reduces the risk.

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APA: Copy

ROSTAMI, ALI, & NIKNIA, NARGES. (2013). THE EFFECT OF PORTFOLIO DIVERSIFICATION ON VALUE AT RISK IN TEHRAN STOCK EXCHANGE (TSE). INVESTMENT KNOWLEDGE, 2(6), 83-104. SID. https://sid.ir/paper/188115/en

Vancouver: Copy

ROSTAMI ALI, NIKNIA NARGES. THE EFFECT OF PORTFOLIO DIVERSIFICATION ON VALUE AT RISK IN TEHRAN STOCK EXCHANGE (TSE). INVESTMENT KNOWLEDGE[Internet]. 2013;2(6):83-104. Available from: https://sid.ir/paper/188115/en

IEEE: Copy

ALI ROSTAMI, and NARGES NIKNIA, “THE EFFECT OF PORTFOLIO DIVERSIFICATION ON VALUE AT RISK IN TEHRAN STOCK EXCHANGE (TSE),” INVESTMENT KNOWLEDGE, vol. 2, no. 6, pp. 83–104, 2013, [Online]. Available: https://sid.ir/paper/188115/en

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