The Stock Optimal Portfolio using value at risk: Evidence from Tehran Stock Exchange

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PAYTAKHTI OSKOOE SEYYED ALI; HADIPOUR HASSAN; Aghabagherry Hasan

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Journal: JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL Year:2019 | Volume:15 | Issue:61 Page(s): 157-178

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Title

The Stock Optimal Portfolio using value at risk: Evidence from Tehran Stock Exchange

Author(s)

PAYTAKHTI OSKOOE SEYYED ALI | HADIPOUR HASSAN | Aghabagherry Hasan | Issue Writer Certificate

Keywords

Stock Optimal PortfolioQ1

Value at RiskQ1

cement companiesQ1

Tehran Stock ExchangeQ2

Abstract

The Value at Risk as one of the risk measurement criteria can be used to determine the Stock Optimal Portfolio. The main objective of this study is to determine the optimum portfolio of shares using Value at Risk. To this end, data from the weekly prices of the stock of 17 selected cement companies (which their data have been available) has been used during the period January 2012 to March 2017. First, the Value at Risk for each share is calculated using a parametric approach and a variance-covariance method, and the optimal portfolio weights are comprised of the shares of the companies mentioned. Then employing nonlinear planning, optimization of the stock portfolio with the lowest Value at Risk was performed with respect to the expected returns. Based on the empirical results, the highest weight in the optimal portfolio belongs to the stock, which has high expected returns and has the lowest Value at Risk among the companies under study.

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APA: Copy

PAYTAKHTI OSKOOE, SEYYED ALI, HADIPOUR, HASSAN, & Aghabagherry, Hasan. (2019). The Stock Optimal Portfolio using value at risk: Evidence from Tehran Stock Exchange. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, 15(61 ), 157-178. SID. https://sid.ir/paper/364208/en

Vancouver: Copy

PAYTAKHTI OSKOOE SEYYED ALI, HADIPOUR HASSAN, Aghabagherry Hasan. The Stock Optimal Portfolio using value at risk: Evidence from Tehran Stock Exchange. JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL[Internet]. 2019;15(61 ):157-178. Available from: https://sid.ir/paper/364208/en

IEEE: Copy

SEYYED ALI PAYTAKHTI OSKOOE, HASSAN HADIPOUR, and Hasan Aghabagherry, “The Stock Optimal Portfolio using value at risk: Evidence from Tehran Stock Exchange,” JOURNAL OF MANAGEMENT AND ACCOUNTIN SCHOOL, vol. 15, no. 61 , pp. 157–178, 2019, [Online]. Available: https://sid.ir/paper/364208/en

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