OPTIMIZING THE SEPAH BANK INVESTMENT COMPANY’S PORTFOLIO USING A COMBINATION MODEL OF MARKOWITZ AND MULTIVARIABLE GARCH

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MOUSAVI JAHROMI YEGANEH; GHOLAMI ELHAM; SAMEIE SAJEDEH

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Journal: IRANIAN JOURNAL OF APPLIED ECONOMICS Year:2016 | Volume:6 | Issue:- Page(s): 1-13

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Title

OPTIMIZING THE SEPAH BANK INVESTMENT COMPANY’S PORTFOLIO USING A COMBINATION MODEL OF MARKOWITZ AND MULTIVARIABLE GARCH

Author(s)

MOUSAVI JAHROMI YEGANEH | GHOLAMI ELHAM | SAMEIE SAJEDEH | Issue Writer Certificate

Keywords

PORTFOLIOQ1

MARKOWITZ THEORYQ1

MULTIVARIATE GARCH MODELQ1

THE SEPAH BANK INVESTMENT COMPANYQ1

Abstract

The main purpose in the present paper is to optimize THE SEPAH BANK INVESTMENT COMPANY’s PORTFOLIO using the method of minimizing the risk subject to the expected return. In this regard, first, the combination of the mentioned company’s PORTFOLIO was considered over the period 2008-2011 (1387- 1390 corresponding to Iranian calendar) and four industries with high shares between all the invested were selected. Latter, the returns’ risk of the four industries using the MULTIVARIATE GARCH MODEL have been estimated in BEKK - Diagonal model’s frame over the time. In the following, subject to the expected return, the optimal risks of investment PORTFOLIO including the four selected industries have been calculated. The Findings show that whenever there is less of a risk for each industry’s return, its share is higher in the PORTFOLIO. Furthermore, on the average, the non- metallic mineral extraction industry has the highest share. Respectively, the ranking of three of the remaining selected industries’ shares consists of: metallic mineral extraction industry, holding companies and chemical materials and products industry. Therefore, it is sufficient that THE SEPAH BANK INVESTMENT COMPANY in order to minimize its risk in any time and to achieving an expected return considers such a ranking.

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APA: Copy

MOUSAVI JAHROMI, YEGANEH, GHOLAMI, ELHAM, & SAMEIE, SAJEDEH. (2016). OPTIMIZING THE SEPAH BANK INVESTMENT COMPANY’S PORTFOLIO USING A COMBINATION MODEL OF MARKOWITZ AND MULTIVARIABLE GARCH. IRANIAN JOURNAL OF APPLIED ECONOMICS, 6(-), 1-13. SID. https://sid.ir/paper/202036/en

Vancouver: Copy

MOUSAVI JAHROMI YEGANEH, GHOLAMI ELHAM, SAMEIE SAJEDEH. OPTIMIZING THE SEPAH BANK INVESTMENT COMPANY’S PORTFOLIO USING A COMBINATION MODEL OF MARKOWITZ AND MULTIVARIABLE GARCH. IRANIAN JOURNAL OF APPLIED ECONOMICS[Internet]. 2016;6(-):1-13. Available from: https://sid.ir/paper/202036/en

IEEE: Copy

YEGANEH MOUSAVI JAHROMI, ELHAM GHOLAMI, and SAJEDEH SAMEIE, “OPTIMIZING THE SEPAH BANK INVESTMENT COMPANY’S PORTFOLIO USING A COMBINATION MODEL OF MARKOWITZ AND MULTIVARIABLE GARCH,” IRANIAN JOURNAL OF APPLIED ECONOMICS, vol. 6, no. -, pp. 1–13, 2016, [Online]. Available: https://sid.ir/paper/202036/en

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