OPTIMAL PORTFOLIO SELECTION IN THE STOCK EXCHANGE: AN APPLICATION OF VALUE AT RISK (VAR) INDEX

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TORKAMAANI J.; HOSSEINI ALI

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Journal: Iranian Journal of Economic Research Year:2007 | Volume:- | Issue:29 Page(s): 75-92

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Information Journal Paper

Title

OPTIMAL PORTFOLIO SELECTION IN THE STOCK EXCHANGE: AN APPLICATION OF VALUE AT RISK (VAR) INDEX

Author(s)

TORKAMAANI J. | HOSSEINI ALI | Issue Writer Certificate

Keywords

OPTIMAL PORTFOLIO SELECTIONQ3

VALUE AT RISKQ3

TEHRAN STOCK EXCHANGEQ2

Abstract

The main objective of this paper is to determine the optimum portfolio of the TEHRAN STOCK EXCHANGE with respect to the VALUE AT RISK (VaR) index. Daily data are on the shares of 30 active companies traded in the TEHRAN STOCK EXCHANGE with daily expected return above 0.4 percent in 2004. Optimum portfolio is selected subject to the investors' budget, risk and VaR confidence levels. Results reveal that the higher confidence level of VaR requires more diversified portfolio. Therefore, beginner investors and those with higher degree of risk aversion should diversify their budget among shares of various companies. Also, the level of investment affects the combination of the selected portfolio. Results also show that the Risk-Return trade off are in favor of risk averse investors and the change in time length period can also change the optimal portfolio.

Cites

STUDY AND DETERMINATION OF OPTIMAL PORTFOLIO FOR STOCK OF ACTIVE FOOD INDUSTRIAL COMPANY IN TEHRAN STOCK

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APA: Copy

TORKAMAANI, J., & HOSSEINI, ALI. (2007). OPTIMAL PORTFOLIO SELECTION IN THE STOCK EXCHANGE: AN APPLICATION OF VALUE AT RISK (VAR) INDEX. IRANIAN ECONOMIC RESEARCH, -(29), 75-92. SID. https://sid.ir/paper/2451/en

Vancouver: Copy

TORKAMAANI J., HOSSEINI ALI. OPTIMAL PORTFOLIO SELECTION IN THE STOCK EXCHANGE: AN APPLICATION OF VALUE AT RISK (VAR) INDEX. IRANIAN ECONOMIC RESEARCH[Internet]. 2007;-(29):75-92. Available from: https://sid.ir/paper/2451/en

IEEE: Copy

J. TORKAMAANI, and ALI HOSSEINI, “OPTIMAL PORTFOLIO SELECTION IN THE STOCK EXCHANGE: AN APPLICATION OF VALUE AT RISK (VAR) INDEX,” IRANIAN ECONOMIC RESEARCH, vol. -, no. 29, pp. 75–92, 2007, [Online]. Available: https://sid.ir/paper/2451/en

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