COMPARISON EVALUATION OF STOCK OPTIMAL PORTFOLIO SELECT WITH MARKOWITZ  VAR MODELS IN THE TEHRAN STOCK EXCHANGE

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TALEB NIA GHODRATOLLAH; FATHI MARYAM

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2010 | Volume:3 | Issue:6 Page(s): 71-93

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Title

COMPARISON EVALUATION OF STOCK OPTIMAL PORTFOLIO SELECT WITH MARKOWITZ  VAR MODELS IN THE TEHRAN STOCK EXCHANGE

Author(s)

TALEB NIA GHODRATOLLAH | FATHI MARYAM | Issue Writer Certificate

Keywords

OPTIMAL PORTFOLIO SHARESQ4

TEHRAN STOCK EXCHANGEQ2

MARKOWITZ MODELQ4

VALUE AT RISK MODELQ4

Abstract

According to theory of the stok exchange, supposed that investors don’t risk.It means that they select asset from between two assets with same efficiency rate that have lower risk level. Or risk against assets that they choose to be more efficient Investors that accept Theoretical basket of securities belice that con’t challenge with market. So, they keep several types of the Stock exchange until their efficiency become same average market efficiency.Therefore, this research to select OPTIMAL PORTFOLIO SHARES by investors in the TEHRAN STOCK EXCHANGE through MARKOWITZ MODELs and values at risk are investigated and studied To the possibility of its application to optimal portfolio choice for investors determine the stock. time period of this research is considered from 1380 to 1387 and statistics society is all of the stock companies with special conditions then and comparison of optimum stocks by two models of markovitz and worth of exposed to danger from t test. Results of this research show that selection of optimum stocks in TEHRAN STOCK EXCHANGE market is similar by madels of markovitz and worth of exposed to danger. Therefore, investors can for choose OPTIMAL PORTFOLIO SHARES equally from both models use.

Cites

DEVIATION FROM NORMAL DISTRIBUTION AND ITS IMPACT ON THE DIFFERENTIAL VALUE AT RISK

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APA: Copy

TALEB NIA, GHODRATOLLAH, & FATHI, MARYAM. (2010). COMPARISON EVALUATION OF STOCK OPTIMAL PORTFOLIO SELECT WITH MARKOWITZ  VAR MODELS IN THE TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 3(6), 71-93. SID. https://sid.ir/paper/200380/en

Vancouver: Copy

TALEB NIA GHODRATOLLAH, FATHI MARYAM. COMPARISON EVALUATION OF STOCK OPTIMAL PORTFOLIO SELECT WITH MARKOWITZ  VAR MODELS IN THE TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2010;3(6):71-93. Available from: https://sid.ir/paper/200380/en

IEEE: Copy

GHODRATOLLAH TALEB NIA, and MARYAM FATHI, “COMPARISON EVALUATION OF STOCK OPTIMAL PORTFOLIO SELECT WITH MARKOWITZ  VAR MODELS IN THE TEHRAN STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 3, no. 6, pp. 71–93, 2010, [Online]. Available: https://sid.ir/paper/200380/en

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